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.
http://www.internationaloliveoil.org/estaticos/view/85-frying-with-olive-oil