If you have the P45, just read the instructions on Part 2 "To the employee". It says :
"Give this form to your new employer, or you will have tax deducted using the emergency code and may pay too much tax. If you do not want your employer to know the details on this form, send it to your Inland Revenue office immediately with a letter saying so and giving the name and address of your new employer."
So it's saying that if you don't want your new employer to know how much you've earned this tax year, don't give them your P45. Also in the instructions "To the new employer" it says "IF your new employee gives you this form..." so it is not compulsory. As SP said earlier, if it was your first job, you wouldn't have a P45. The employer must pay you for the work you have done. If they paid you the full gross amount, the IR would claim the Tax and NI from you later, so that it would all work out right in the end. Giving the new employer your P45 just means they would be able to get you on the right tax code straight away.
As your employer is a one man operation, maybe he or his accountant is trying a tax dodge whereby he deducts tax from your paycheck and then keeps it in his company account for a while before finally passing it to the IR next April.