Well, I have never really had a gay thought in my life... never wanted to experiment with gay folks, never been attracted to a man in any way... but I have had a couple of girls I've dated who liked to put a finger up my ass while we're fucking. If you can get over yourself and realize that it doesn't mean you're gay or have gay tendencies, it can lead to an orgasm a few steps up from any you've had before. It really is awesome to cum when the prostate's being played with. Many men also have an erogenous zone tied to nerve endings in the anal opening itself. Not me -- I don't get pleasure from having the finger actually in the anus, but get it from the prostate -- but some other men do, supposedly.
As some others have said, it's not gay, doesn't say anything about your orientation, and give it a try! The worst that could happen would be you don't like it, in which case you tell the chick and let that be that.
One thing, though -- make sure she doesn't have long nails. That can hurt like a mother*******. Also, lube = good.