Olive oil is a great frying medium, it is a little more forgiving, it's not used in a lot of places due to the cost. The burning point is relatively moderate in comparison to "frying oil" such as vegetable oil.
Olive oil smoking point is: 210°C (410°F) while Vegetable Oil has a smoking point of 182°C (360°F)
If you can afford to use it, it's great to use. Just a word of warning, it has a different taste to it, so things cooked in it will have a different taste than most people would be used to. It tends to be a little "heavier" if that makes any sense?