Yeah, I was scared of that too when I first started using tampons.
I usually wear pads, just cuz they are more abundant in my house. lol
I have a funny story from the first time I used a tampon!
I didn't want my mom to be in the bathroom with me while I put it in (that's kinda awkward, me with my undies around my ankles and my mom there telling me where to stick it. I don't care if she's my mom and she's seen it all before, it's still really weird.) So there I was, all ready to do it, but I had no idea how. So I'm reading this piece of paper that came in the box of "teen" sized tampons, my bare butt in the air, and I'm staring at the tampon thinking.."that goes WHERE?!" It had diagrams and everything..

I was horrified!