This isn’t embarrassing it’s completely normal, especially if this is your first few times of using them, you need to put a leg up on the toilet and angle it to your back I also find the tampons with the applicators easier as it goes higher up, if it hurts you’ve not put it up high enough. TMI but if you put it up with a finger like your middle one it should go just past your knuckle.
And I don’t know if this is obvious but unless you’re on your period don’t use it or it will hurt because of friction. You can’t take a tampon out until a few hours when it’s been absorbed.