Does anal hurt women?

It Can Hurt, Period. It doesn't matter what sex you are: Anal sex can hurt. To enjoy it, learn how to make it pleasurable. Start with this article: http://www.menshealth.com/sex-women/anal-sex.
That is individual. It is something that can have medical and, yes, at times painful consequences. It is also very much a personal choice that should never be forced on anyone.