problem with begin transacction.

Hello.

I have a problem with the transactions. I'm using postgres 7.1.3. Our
program connects with the database, then it starts the transacction
with:

EXEC SQL BEGIN;

but in the first SELECT I obtain the next error:

Error:-603
Begin: already a transaction in progress.

I've tried to put:
EXEC SQL ROLLBACK;
before the BEGIN, but postgres says me thet there isn't any transaction
in progress.

Can you help me?.
Thanks.