Does your iPhone do this?

[Apple]

I think my iPhone (4) running iOS4 may have a fault or the wrong settings. It has always done this but I have never thought anything of it. If I search for a song from the main iPhone search page, click it so it plays then just leave the phone alone while it plays. When the song has finished and it has gone to the next song, when I unlock the phone the song changes back to the song I originally clicked on to play. I wish it didn't do this and I can't really see any setting that are making it do this. If anyone knows about it or could try to recreate this problem to see if it is just me, I'd really appreciate it! Thanks.