How do you have sex with a virgin without giving her pain?

It's not always possible. It would depend on how she's built inside for sexual intercourse. If her hymen's still intact (which is a traditional sign of female virginity), when his erect penis penetrates her vagina, it will encounter resistance inside her. When his penis thrusts forcefully enough inside her vagina, her hymen will be torn apart and the virgin will be 'deflowered'. A girl's bleeding from her 'defloration' is traditionally associated with losing her virginity (a major rite of passage for her) and thus 'becoming a woman'. In some cultures, the existence of a young woman's pain and bleeding during sexual intercourse is accepted and even celebrated as proof that she was a virgin. 'Why exactly does it hurt?'

In order for his penis to penetrate deeply inside vagina, he would have to thrust with enough force to open her hymen. A virgin would feel pain (from the breaking of her hymen) when his penis exerts such force inside her vagina. 'Is there any way to ease pain?'
The key is to reduce the friction when his penis penetrates her vagina. In foreplay, he should stimulate her, both verbally and physically, as much as possible so that she becomes sexually aroused and her vagina becomes well-lubricated. But if her hymen's resistant enough to his vaginal penetration, she would feel some pain and likely have some bleeding. During and after her first sexual intercourse, particularly if she has experienced some pain and bleeding, he should attempt to comfort and reassure her by telling her how much he loves her and how much making love to her means to him.
It's not unusual for a young woman to seem uncomfortable before she loses her virginity. If she seems uncomfortable, a man should ask her if she would like to postpone having sexual intercourse. Even if he's become very aroused by her, he should not proceed with sexual intercourse if she begins to resist his advances. He should not make her feel like she was deprived of her virginity because she was just taken by force. If he loves her, he should wait until she feels it's right for her.