Pressing the "End call" button at the bottom of the screen while you're talking to one person and have another person on hold will appear to end both calls, regardless of which was active. What generally happens next is that your EVO will ring and the person who was on hold and seemingly got hung up on will be on the line.
You can switch between calls with no problem and if the person on the other line is the one who hangs up, the line will automatically disconnect. It's just when you try to end the call yourself that the "problem" occurs.
If your last phone was on a GSM network (AT&T and T-Mobile), then you may think the EVO has a bug in its calling software. While pressing the "End call" button logically implies that only the active call would be ended, that isn't the way things work on CDMA (Sprint and Verizon).
Although it may look like both calls were disconnected, they really weren't. When the person on hold seemingly calls you back, he/she was actually just waiting for you to come back from the other line and doesn't know that your phone rang again. Sometimes your phone may not ring and you'll have to make the call manually (CDMA isn't always 100% consistent), but those instances shouldn't be too frequent.
If you're not used to this behavior, then it makes sense to be confused, annoyed, and possibly frustrated. But there isn't a "fix" for it because it's not really broken.
Hang in there, Jesse!