My Wi-Fi on my phone says Privacy warning. What do I do about this?

See this for warning messages when on wi-fi. Recommended settings for Wi-Fi routers and access points - Apple Support

Increase the security level on your wireless router, if that is possible.

Experiment to see if your wireless router will allow the iPhone to receive a private IP address.

Home Screen

Settings

Wi-Fi

Tap on the blue "i" next to the name of the wireless network

Turn on Private IP address if it is not already turned on