Actually extra virgin olive oil has one of highest smoke points so it's perfect for frying. The only problem is that it's expensive. Probably you are using a refined olive oil or a cheap one that has a low smoke point ..try to use extra virgin and not to over heat the oil not only to avoid burning the oil but also to avoid undercooking the food. Regular vegetable oils degrade when heated beyond the smoke point and because of their low smoke point they start forming free fatty acids which are bad for health. Extra virgin olive oil is more stable with a high smoke point and will not loss it's beneficial properties by frying or heating that's why it's preferable oil for cooking and frying.
Some more information:
Olive oil is ideal for frying. In proper temperature conditions, without over-heating, it undergoes no substantial structural change and keeps its nutritional value better than other oils, not only because of the antioxidants but also due to its high levels of oleic acid. Its high smoking point (210ºC) is substantially higher than the ideal temperature for frying food (180ºC). Those fats with lower critical points, such as corn and butter, break down at this temperature and form toxic products.
Another advantage of using olive oil for frying is that it forms a crust on the surface of the food that impedes the penetration of oil and improves its flavour. Food fried in olive oil has a lower fat content than food fried in other oils, making olive oil more suitable for weight control. Olive oil, therefore, is the most suitable, the lightest and the tastiest medium for frying.
It goes further than other oils, and not only can it be re-used more often than others, it also increases in volume when reheated, so less is required for cooking and frying.
