How exactly is a catheter used to collect urine inserted into a women, through which opening? does it hurt?

Into the urethra: The urethra carries urine from the bladder to the outside of the body. A catheter to collect urine would be inserted into open end of the urethra, the most anterior of three openings to the outside ( urethra, vaginal opening, anus). Insertion will cause a burning sensation at first. There may also be discomfort when the catheter is removed.

Urethral opening: To collect a sterile urine specimen, the optimal method is to place a sterile catheter directly into the urinary bladder via the urethra which exits the bladder in the distal anterior vagina. It should cause little if any discomfort if done properly. More commonly, a "clean catch" specimen is obtained without use is a catheter but that method is more likely to be contaminated.

Urethral opening: Urine comes out through the opening called urethra.It is located immediately above the vaginal opening. Catheter to obtain urine can be easily inserted and should not cause pain when done gently.