what do I say?

A lot of guys who are new to it don’t actually understand what exactly they are playing with, lol. You don’t need to tell him it didn’t feel good this time. The next time he does it, be open and honest with him and most important of all; communicate with him. When he is doing it, let him know which areas feel most sensitive and after a while he will understand your body enough to make you feel good. Let him explore a bit, etc. If he did it with dry fingers, that may also contribute to it not feeling very good.

Tell him to be adventurous and rub different areas, use different intensities, apply different amounts of pressure, etc. Many guys put their fingers straight inside, but in doing this are actually missing the most sensitive areas (unless he knows how to locate the g-spot or anything alike). Basically, you have to communicate with him during the process. Do not fake it or anything, because this benefits neither of you. Be honest with your partner and eventually there will be pleasurable rewards for it :).