When you finish a game a start a new one when it goes through the Credits Roll -> Titlescreen, you're starting something like a New Game+. Game data from the previous/current session is saved over.
Or are you talking about the first save slot being overwritten all the time? If so, this is because this is the Quick Save save slot, and the game periodically saves to this slot. There are 10 save game slots available. Just drag the list up and down to navigate.