There are three openings in a woman a) the Urethra, b) the Vagina and c) the Anus. Urethra is too small, one can’t insert even a finger so question of penis entering it does not arise. Anus is too low, hence in male superior position even if you want to enter, its difficult. The only place where it can enter is vagina. Get the guidance of your partner while penetrating into her. To start with male superior / missionary position would be advisable.