Nokia phones some how don't like the idea of having three DNS, now days its common for ISP's to have yet another backup DNS besides primary and secondary. Nokia phones tend to get problems with that.
Solution? Chances are that you are on a DHCP setup in which ip is set automatically by your ISP, what you can do is go to
Settings -> Connectivity -> Destinations -> Internet -> Your WLAN Connection (e.g. you might have it called HOME) -> Advance Settings -> IPv4 Settings
Keep that in mind that the above is based off my 5800XM and it might differ on your device, but the idea is that you need to edit the settings of your access point (which in this case would be your connectivity to your router to go on internet).
By going in IPv4 settings you are going to manually enter IP address to your phone and chances are you are going to sort out most of the problems just by doing this simple step.Here you will asked to enter
Phone IP Address (e.g. 192.168.1.5)
Subnet Mask (e.g. 255.255.255.0)
Gateway (e.g. 192.168.1.1)
DNS (for primary DNS i enter the router's ip and for secondary i enter the third DNS from my ISP)
If you enable WPA or any other security in your router other than WEP it gives me problems like constant connection drop outs and what not. I tried going with WEP and it was steady connection for me, Although it means you will have to enter the hard to remember passcodes every time you want a wireless device to be on the network.