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

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

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