shaneawi,
Ironically, I was in the same situation for awhile. It's generally not a good idea to let a girl know that you haven't been in a relationship before (and once you HAVE been in a relationship, this problem goes away anyway).
If a girl does ask, it's best just to be rather vague. Maybe make it sound like you had one or two girlfriends in the past, and the relationship(s) was(/were) a positive experience, but it's nothing you really care to talk much about. At that point you can change the subject (as you have been doing).
A good tip for avoiding this the first time around is not to ask too many questions about the girl's prior relationships. Once you start asking questions about her prior relationships, it opens the door for her to pry into your prior relationships. In general, you'll find that most girls really don't want to talk about the details of their past relationships anyway (or if they do, they leave out anything that makes them look bad), so avoiding bringing up the topic of past relationships also helps keep the spotlight off of you.
Of course, once you have one "serious" relationship with a girl, you don't really need to be dodgy about this if you don't want to. At that point, you'll have actual experience under your belt. =)
- Franco