I expect that it's a personal contract hire type of thing - whereby the car is registered in your name, but the finance company has an "interest" or "call" on it (this is more common than, for example, hire purchase and is a bit like a mortgage on a house). Effectively, the loan is secured against the car and you can't legally sell it without settling the loan.
If the loan isn't settled, one way you can change the car is by selling it to a dealer - who pays the finance company off for you. If there's any negative equity (difference between settlement figure and value of the car), then this is added to your new finance agreement. You can also sell to one of the internet car buyers like webuyanycar.com who will settle with the finance company on your behalf; I have done this before and it's a bit weird paying someone to take your car away!
Be careful with rolling the existing finance into a deal on a new car, because the negative equity can seem "hidden" in the new car loan and you'll end up paying off the 1st car's negative equity long after it's been sold.
If you are rolling the old deal into a new one, it's best to pay a large deposit to clear the negative equity. I was fortunate to be able to fund the difference between my old car and my Audi through a lucky combination of savings and an unexpectedly high part-ex - but I had expected to need a PCP.
As they say, the cheapest car is the one you already have!
