Your prostate is an inch or two inside and above your anus on the top side directly below the bladder. It's very possible that you can't feel it. If you can't, what's the purpose of giving it a massage?
Be very careful what you stick in your butt. While it may seem like a a fun thing to try, it will be very embarrassing to explain to a doctor and/or your parents if something goes wrong. There have been a number of books written by emergency room doctors and one of the favorite topics is the great variety of items they've had to remove from rectums. This is a case where the risk far outweighs any benefit.