A few suggestions:
DON’T use Tampax brand, at least at first. They get longer as they get wet, so if you have a relatively short vagina, this can cause the lower end of it to push lower and lower, until it gets to that ‘band’ women are talking about above. I think the band is really where your vagina crosses the edge of your pubic bones. Anyway, all the rest of your vagina is a soft sack pressing against other soft blobby organs, and having a tampon well ‘up’ inside it – well, you honestly won’t feel it. But once it intrudes into that ridge area, it’s being pressed against unyielding bone, and you WILL feel it and be uncomfortable.
The ‘shortest’ tampons I’ve found are ob, which only expand sideways, but they don’t have an inserter which is awkward for some beginners. I’d suggest playtex which are almost as short. Get the ones with the plastic applicators that form a blunt smooth top for the easiest insertion, and maybe stick with ‘normal’ or even ‘light’ for your first few uses. They won’t hold as much (last as long in use) but they’ll be a bit smaller.
Also – this isn’t meant to be insulting, but some girls have been told really ridiculous old wive’s tales about their anatomy ‘down there.’ If your mother (or whoever) didn’t do a good job, do some searching on reputable med sites and especially pay attention to the anatomy of a vagina.
Except when actually giving birth (and for a short time afterwards) you can think of your vagina as a ‘blind sack’, like a balloon. There is one opening to the outside, and it has a certain length (though it stretches) and no width (again, it stretches.) If you want an idea of the normal size it can stretch and lengthen to accommodate, look at erect penises. 
The most important point is that there isn’t anywhere for a tampon to get ‘lost’ in there. Yes, there’s an opening to your uterus, but it’s the side of the lead in a pencil. Not the whole pencil, mind, just the lead inside it. There’s no way you can accidentally – or on purpose – shove a tampon ‘too far’ and have it end up in your uterus.
It also means that even if a string should break (and it’s never happened to me, or my sisters, or my girlfriends…) you will still be able to reach the tampon and remove it. Consider: your vagina is very unlikely to be even 7 inches long. A, um, ‘used’ tampon is at least 3 inches long, often more like four. The lower end of the tampon is no more than three inches inside you. If this happens, slide your index and second fingers inside you and use then as a pair of tweezers to grab hold of the tampon and pull it out.
It’ll be a little messy, but, hey, it’s only blood and such, not radioactive waste. Just wash your hands, right? 
Do your best to relax, and it’ll be fine. Once you discover has much ‘cleaner’ tampons feel – no blood outside! No ‘odor’! – you’ll never want to go back to pads.