The pick or plectrum rotation is an age old problem for guitarists. As someone else pointed out try a different selection of picks. I remember buying some that felt as though they were covered in talcum powder, it wasn't talc i hasten to point out it just felt like it which made it more grippy in your fingers. If i remember correctly they had a crocodile printed on them so maybe look out for them. Dunlop do a nice selection of picks that have a grippy texture to them. I would suggest going to a decent guitar shop and just asking to look at the selection and feel a few in your fingers. It will take you a while to get the one you feel right with.
Also there are quite a lot of different gauges (thickness). Obviously the thicker ones have less give in them and the lighter gauges bend more easily as you pick or strum. Which you go for will depend a lot on what style of music you want to play, generally go for a heavier gauge if you want to play metal or rock because you'll want to give it a bit more umph, don't go too heavy though because you'll find they have no give at all and as you improve you'll want to experiment with different pick techniques. One of my faves is the pinched harmonic, this one is great if you play rock or metal. The technique is to hold the pick between your index finger and thumb but hold your thumb right to the edge of the pick, the pointy edge that is, the bit that comes into contact with the string. The idea is that when you hit the string with the edge of the pick you are simultaneously hitting the string with the tip of the pick and the edge of your thumb, you'll need maxium distortion for this but you'll find when you get this technique down you'll get a really high pitched scream from the string, great if you are playing loud rock.
As for your fingers being sore, that happens to all guitar players, you just have to stick it out and your fingers will toughen up after a while. Another tip for the problem of the pick rotating is to actually not grip it quite as tight. I know that probably sounds counter intuitive but it does actually work, you want your hands to be as relaxed as possible, when your first start playing the tendency is to tense up a bit and hold on too tight, your playing will come a lot easier and sound a lot more natural the more you can relax your hands. Also it's much easier to correct the alignment of the pick when it rotates if your hand is relaxed and not gripping too tightly. After you become more proficient you'll find you'll be able to re-align the direction of the pick in the blink of an eye.
Good luck, remember practice makes perfect. When you see all those guitarists who make it look so damn easy remember they were a beginner once and they had to spend hours in their bedroom or garage practicing their arse off, stick with it and you'll get there.
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