Use the lubricant, this isn't supplied just to help make insertion easier, it also helps with the conductivity. The better conductivity, the more the muscle will be exercised and the more level's you'll be able to achieve.
If you are menopausal you could be suffering from vaginal atrophy, this causes vaginal dryness, thinning of the vaginal membrane and great discomfort.
If the lubricant does not help, your Doctor can prescribe a course of oestrogen cream, use this for the recommended time, and then re commence using the pelvic muscle trainer. Remember the pelvic floor needs to be exercised, do not be put off by vaginal atrophy, there are easy solutions for all women to overcome this painful condition.