If you're interested in anal play and want to learn how to enjoy it without pain, I recommend two books: Anal Pleasure and Health by sex therapist Jack Mornin, Ph.D., and The Ultimate Guide to Anal Sex for Women by Tristan Taormino.

Today, 30 years into the AIDS epidemic, discussions of hetero-anal sex are less likely to focus on HIV risk than on how anal play adds spice to lovemaking. But since the early 1980s when receptive anal intercourse was identified as a key route of HIV transmission, research into anal sex, including heterosexual anal, has increased substantially, and all credible evidence suggests that hetero-anal has become increasingly popular.
Receptive anal intercourse is strongly associated with HIV risk. Across recent surveys, anal play is associated with youth. And ever since the invention of photography (1840) and motion pictures (1890), pornography has shown hetero-anal play. Clearly, hetero-anal sex has been part of human sexuality for centuries, but in the U.S., it was rarely mentioned until AIDS appeared.
In Peru 1,700 years ago, hetero-anal intercourse was by no means rare.