The reason a man can keep an erection is because the arterial blood flow to his penis compresses the veins that carry blood away, so more blood goes in than goes out. It's likely not a bad thing for that vein to bulge when you have an erection, in fact it's probably indicative of the fact that you have a good ability to retain an erection.
Veins and arteries are different in that arteries are surrounded by smooth muscles so they don't bulge under pressure. Veins don't have these muscles, since they're not usually subjected to these high pressures. That's why if you've ever noticed the veins in the back of your hand, when you dangle your arm down, probably bulge more than if you hold your hand above your heart. The reason the vein in your penis bulges is because it's being subjected to pressure, namely, the pressure that your erection is exerting on it. If no pressure was exerted on that vein, the blood would flow out of your penis through it, and you would lose your erection.