congrats! i have been there, i know how miserable and discouraging it can be. hang in there, there are several things to try:
first, check for thrush, another mom here told you what it looks like. look for diaper rash too, the yeast can show up there. if it might be thrush, you need to see the doc. meanwhile keep everything clean and dry and try to minimize your sugar intake as much as possible. drink lots of water.
second, check your latch, another mom also told you about that, thats most likely the problem. a lactation consultant can help you. you need to get as much of your nipple in there as you can, do not let the baby nurse on just the tip. i know they dont recommend this anymore, but it worked for me, squish your breast like a sandwich, to be the same shape as babys mouth, and get it in there from the bottom lip up... hard to explain, but press it on the babys bottom lip, then as much in there as you can, to the top lip. also, you can try the assymetrical hold, it helped me, im going to try to find a link to dr jack newmans website, he has video clips which saved me with my last baby.
third, as for the soreness that you already have, here is what worked for me... lanolin did NOT work for me, it actually made things worse. im allergic to wool, so it makes sense. i just expressed some breastmilk at the end of the feeding and applied and air dry. then, when it got unbearable with my first baby, bleeding and everything, it was awful, here is what i did ... ***i must preface this by saying that i have read that vitamin e can pose problems in large amounts for the baby, check with your doc***... when things were just awful, what i did was to apply some breast milk, then apply vitamin e oil (from a closed capsule, using a sterilized pin), then i put a little square of saran wrap on my nipple, then a breast pad over that inside my bra. then i didnt nurse on that side for a day or so, or just overnight, whatever i felt did the trick. i pumped every few hours to protect my supply, its much easier on the nipple. i would do one side, it healed dramatically overnight, then nurse on both sides for a couple of days so i wasnt all back on that side, then to the other side if it needs it. this worked beautifully for me. ***IF you have thrush, this will just make things worse, thrush thrives in wetness.
here is the website, there is tons of good info here, including a section on sore nipples which i havent looked at, that wasnt my problem at the time i got this site, i was having latch problems with my third, and if you scroll down there is a section called latching on, there are little video clips, watch them all, the assymetric hold saved me with my third baby (who apparently didnt get the memo that i was an old pro at this!) it helps so much to be able to see video, check this out...
http://breastfeedingonline.com/newman.shtml
best of luck to you, dont be afraid to call lactation consultants or members of la leche, they were so helpful to me right over the phone. take care of yourself :)