If you're going to fry with extra virgin olive oil you gotta have a candy thermometer and keep it as hot as you can without scorching the oil. That's very easy to do and I wouldn't recommend EVOO for general frying use.
I think what you can do to infuse an oil is to take whatever you plan to infuse it with - garlic, rosemary, any dried spice, really (fresh won't work) is to mix in the infusion and heat the olive oil over a low flame for about 15-20 minutes. I have to doublecheck that method and number because I'm not 100% sure on it.
If you have the time, just let it infuse in a closed bottle for a few months.
One thing I would recommend: if you're going to make an infused oil, I wouldn't even bother with using anything other than a very good quality EVOO. Borges is amazing if you can get it. Don't even bother with the big brand Italian EVOOs. Spanish might be your best bet at a local grocer. The options expand if you order it online, but unless you have the opportunity to taste it, I would just go with as good a quality as you can get your hands on.
If you can't find 'em, just use whatever EVOO you can find. Use only EVOO.
Traditionally, though, Matsuri has it - peanut oil is used for frying most things.