First, run with a brake until you get used to it. The pain is the result of either you using your bars to help your legs stop the pedals, as in jamming your thighs against them, or the result of new stresses being placed on your legs. This will go away as you get used to it, just as it did with your first few rides on your other bike. Soon, you will be able to lock up the wheel without jamming your legs against the bars, if you were doing that to begin with.