I think there is something wrong with me because I can't insert a tampon at all! And when I try to it hurts so bad I cry! Is tis a common problem?

Don't worry, nothing is wrong with you. It is normal.
You should start by trying the smallest size of tampons you find.
If you want to insert a tampon, at first you must make sure your muscles relaxed... Or else, you'll have a really hard time trying to insert it. Don't force it much if it is painful, and be relaxed when you try to do it.

Also, you have to go with the slight back tilt of the passageway. As you insert the tampon, angle it back toward the bottom of your spine, not up toward your stomach.

I can't use one either.. I'm going to the gyno to see if something is wrong, because I don't know what to do.