You should not be feeling pain. if you are stop and find a way in which pain does not occur. To continue playing like that could give you problems.

As said before your palm should not be contacting the back of the neck your thump and fingers should act as a clamp.

Also keep in mind that if you are just starting out. This is going to take allot of practice to get your fingers to bend in the ways you need to form certain chords. Take it slow, work through the lessons and start practicing a couple chords at a time, easier one that don't require such a finger "Work Out". Once you have those move on to another.

Your fingers will become more flexible over time. Good luck and happy playing.