Do not try to insert your cock into any orifices that are not sufficiently lubricated.
If you are with a woman, and her vagina is dry, then you need to "warm her up" more (unless she suffers from vaginal dryness for some medical reason).
A healthy woman will become lubricated (with a semi-viscous fluid produced by the Bartholin's glands, near the entrance to her vagina) when aroused.
If she is aroused, most likely her erectile tissues (clitoris and G spot) will be fully engorged, and she's much more likely to experience pleasure through intercourse.
Some ways to arouse her if she's not there already...
Kiss her some more
Touch her body in ways she seems to appreciate (listen for moans, sighs, or, in the case of women like me, explicit comments...)
Stroke her clit and/or pussy gently (do NOT violently fuck her with your fingers when she is not aroused. For most women, this will do more harm than good for your cause).
Talk to her. Human men and women are able to orgasm in their sleep, proving that the true origins of arousal lie in the brain, not in the body.
If you say the right things, you can blast her into arousal like a rocket...
That's the good news...the not-so-good news is that the "right things" can vary from woman to woman. A good bet -- ask her what turns her on. Then you have something to work with.