How do I get financing with limited credit depth?

I ask this because I have been trying for the past three weeks to get financing for a vehicle. I have been told that I don't really have bad credit I just don't have enough credit depth. It makes me rather angry to keep running into this wall all the time. I make enough money that I could make a $500.00 per month payment if I had to, but I keep getting told I need to have a strong co-signer or they cannot help me. I guess all those places that boast they can help a person that has poor, little or no credit at all are just blowing a lot of hot air to entice people like me into making an attempt at getting financing. The other problem is that every time I try to get financing it lowers my credit score by several points per attempt and that in turn makes it more difficult for me in the long run. Is there anything else I can do to get financed without having to go through all this trouble?