Let's see...
1) A bit of both really. There are lots of things in play, both physical and emotional, that may be uncomfortable. However, it is fairly circumstantial from time to time and generally gets better with time and experience.
The key for emotional comfort is an understanding partner and communication. It is ok to laugh, talk, be a bit silly or nervous. No-one would expect you to be able to ride a bike first time you sit on one right? Or not being able ask questions about it?
For physical comfort, lube is a great start (hard to get wet when you are nervous, will also get better with time and experience) but generally I'd probably start very slow with just being naked together and touching each other a lot. It helps getting more used to the new situation. Remember that you don't have to start with full-on sex - you can build up to it.
Don't be afraid to say that something doesn't feel right or hurts - a good partner will listen to you and adapt. It might take a few tries to get it right.
2). Condoms are remarkably efficient, and around 98-99% safe if used correctly. The company that makes them usually have instruction videos on their website, alternatively youtube will have a fair amount of instruction videos. I would never worry about using a condom.
Generally condoms should cover everything at an early stage, but people sometimes shift to another form of contraception (typical the pill but lots of options). There are numerous reasons, practical, for control, or they are in a long-term relationship etc. The only key is to always have contraception, there are no exceptions to this rule unless you want a baby.
The NHS (British National Health Service) has a good and reliable website: http://www.nhs.uk/Conditions/contraception-guide/
In fact, their 'sex and young people' section isn't bad either: http://www.nhs.uk/Livewell/Sexandyoungpeople/Pages/Sex-and-young-people-hub.aspx
Perhaps a bit too teenage, but should be good for you. Just to stress, the NHS is a v good resource and very factual and without much judgement. Be a bit careful with some internet sites.
3) Talk, talk and talk. How stupid or embarrassing it may seem, talk to your partner. This will help with nearly all anxiety and a good partner should be v understanding about your feelings on this topic.
Sex is, as mentioned, a physical and emotional endeavour. Sometimes it is good, sometimes it could be better, sometimes it is more physical, sometimes more emotional - it changes and is often not the same. Learning about it and yourself as well as some practice is usually the way forward.
Sadly I'm UK based so would not know exactly how you would go about getting it save going to your doctor.
Any more questions, let me know and I'll answer as best I can.