yeah, happens to everyone. just dont massage the area at all after injecting and make sure that you are injecting in the right place and you are drawing back the syringe to check for blood or not. dont let anyone else tell you how to do things untill you research it yourself, b/c if they are wrong and they dont know what they are talking about then you could make a bad mistake.
if it is your first time, which it sounds like it is then you'll get used to it.