Hi, Kitten. Tips for anal sex: I'm not a fan of anal, but I know of a lot of women who love it.
1) Take it very slow. Start with lots and lots of foreplay. The more relaxed and aroused you feel, the more pleasurable it will be.
2) Have him stimulate your anus externally, with his hands and/or mouth.
3) Have him put a condom or a latex glove over his finger, then use lots of lube, and have him very slowly and gently insert his finger. At the first sign of pain, slow down or stop and do other things to help you relax.
4) Once one finger feels comfortable, try two fingers, then three.
5) Only after you can comfortably accept his fingers, then he can try to insert his penis. Again, at the first sign of pain, slow down or stop, and try to relax.
Sometimes, it might take several attempts, over the course of days or weeks, until you're ready for the real deal, but I think it will be more enjoyable if you're patient. (The reason I don't like anal is because I had a partner who forced himself in and really hurt me on more than one occasion. I was young and naive, or I wouldn't have put up with it.)
It's best to have him wear a condom because it makes clean up easier and it will protect him from getting a urinary tract infection (lots of bacteria up there). Use lots and lots of lube that is safe for sex. Astroglide Gel or Eros might work pretty well, but there are lots of others available.
Good luck! Let us know how it goes.
Jazz