The hymen is a thin membrane a couple of centimetres inside the opening of the vagina. It can get torn when it is stretched the first time a woman has intercourse, so it may bleed a little then. It may also be a little painful and perhaps bleed a bit because the vagina is not moist enough or because a woman may be nervous and tenses the muscles around the vagina. It is also totally normal for a woman not to bleed the first time she has intercourse.