You are running the same program again, because it's the way PHP works. In your case client does a HTTP request and runs the script. Second request will run the script again. I'm not sure if continuous interaction is possible, so I would suggest making your script able to handle discrete transactions.
In order to figure different steps of the same "interaction", you will have to save data about previous ones in database. Basically, you need to give some unique hash to every client to identify them in your script, then it will know who does the request and will be able to differ consecutive requests from one user from requests of different users.
If your script is heavy and runs for a long time, consider making two script - one heavy and one for interaction (AJAX will query second one). In this case, second script will fill data into database and heavy script will simply fetch it from there.