You are not alone. My little Joshua does the exact same thing. He's 3 months old, and started the crying when he was about 6 weeks old.
It's starting to get a little better, and grandpa can actually put him to sleep without crying. But usually he screams for about 5 minutes, and then he just snuggles in and goes to sleep. The people down the street have the exact same thing happening as well.
It's seems like it's his way of blocking out the world to help him get to sleep initially. I believe Tracy, in her book, describes this type of crying as a mantra cry. It's a form of self-soothing. I just make sure I have some hearing protection handy (he's got really good lungs... makes my ears ring). With the hearing protection, the crying doesn't seem nearly as bad. Just a silly little tip to help you get through it. :-)
Hang in there. He's not hurt or anything. He just wants to explore and doesn't want to have to take that nap.
Theressa