Common misconception for gay-sex. In reality, Anal is the act of making love or otherwise having sexual intercourse between a man and a woman. Arguably, the best sex one can have, as the nerve endings and g-spot stimulation of the female during penetration as well as the rather tight squeeze and domination satisfaction for the male.
Occasionally, gay men participate but they mostly enjoy oral due to the rather unpleasant feeling of the prostate during intercourse (common misconception is that it feels good to men, please).
Women usually offer anal to a man once she really loves him, as it is probably the most intimate thing she could provide him. She would not let just anyone penetrate her anally. Trust is a very big factor but once it is gained anal often becomes the preferred (but not openly discussed) form of lovemaking. Is also considered a great form of birth-control. Use plenty of lub and be patient at first when you try. Then once she loosens up, pump away and enjoy!