This is a fairly common complaint with playing music files from SD card or USB. Some firmware updates fixed these problems, but sometimes the updates make it worse. The head unit can't read the file tables properly, and therefore can't find where it left off. So it defaults to starting all over. Here are a few things you can try:
Update to the latest software/firmware from Pioneer
Run a file check program on the SD card to check for file system errors (Windows and Mac have these programs built in)
Erase and reformat the SD card in FAT16 file system (you'll then need to re-save all your music files)
Try a different SD card, formatted in FAT16, with a small number of music files and only one root folder (no subfolders)