There is a certain amount of discomfort associated with Penis Enlargement exercises: burning ligs, skin stretching, aches and pain. What you need to do, as a newbie, is take your time and learn your penis-- learn how much force it can withstand, and what constitutes "good" pain and "bad" pain. You shouldn't rush this process. You can do real damage if you try to advance too quickly or use too much force before your penis is used to the stresses that Penis Enlargement places upon it.
The best thing to do when you feel "bad" pain is take a short break. The urethra is pretty delicate. I have heard of some Penis Enlargementers using enough force to make their penises bleed from their pee-hole.
Take a break for a few days, then start back again, using less force.
If the pain persists or grows worse, consult a urologist.