This pilot study aimed to determine the feasibility of a larger study of contraception and risk of HIV infection in women. We also measured risk factors for and occurrence of HIV infection in the participants. A cohort of 1537 seronegative women attending a family planning clinic in Nairobi, Kenya was enrolled and followed for up to 12 months per woman. HIV testing was done quarterly. A nested case-control analysis was done with seroconverting women (cases) and 3 matched controls per case, who had detailed interviews and received physical examinations and STD tests. The prevalence of HIV at enrollment was 6.1%; seropositive women were excluded from further analysis. The 12-month life-table cumulative incidence of HIV was 2.1 per 100 women (95% confidence interval [CI] 1.1-3.2). In the nested case-control analysis (17 cases and 51 controls), the crude odds ratio of HIV infection comparing oral contraceptive (OC) users with other women was 3.5 (95%) CI 0.8-21.5), which persisted after control for single confounders at a time. The putative association between OC use sand HIV infection is critical to public health policy, yet no study has been conducted specifically to measure it, yielding weak and conflicting evidence. We intend to conduct a larger study with a similar design as the current pilot study, which confirmed the feasibility of a more definitive project.