Olive oil doesn't have a high heat capability like other oils and is not the best oil from high-heat frying. It's fine for lightly sauteeing things though.
But if you do want to try to fry with it, you can buy the lighter colored olive oils that have been more processed and refined. A "first-press" oil would not be good for frying.
Extra virgin Olive oil is kind of a "saute" oil- if you are actually frying something you might want to just use Olive oil- it has a higher smoke point than evoo. If you are deep frying, then no olive oil- switch to peanut or canola.
If you want to fry with evoo you can add butter to it and bring up the smoke point a bit and add flavor (although it does negate the healthiness of the oil somewhat).
Olive oil is not very good for frying as stated above, use canola, corn, or peanut, if you try and deep fry with olive oil your going to smoke yourself out of your house.