A) is this an iPhone problem? I only ask, because your question is in the macOS Lion forum.
B) If this is an iPhone, and you do not normally use a Proxy server, you should most likely go to Settings -> Wi-Fi -> the WiFi network you are connected to -> ℹ -> Forget This Network, then re-establish your WiFi connection.
C) If this is a Mac, then, and you do not normally use a Proxy server, try System Preferences -> Network -> Advanced -> Proxies, and turn off the Proxy settings.