I had this problem every other time on 3G. Changing the specific access point's proxy to automatic completely solved this issue for me. Also, it does make sense to leave it automatic, since it changes from time to time.
Sadly, WiFi connection issue exists.. requiring router reboot. It works at times, but at other times, it's buggy.
The other thing i did was mark my hidden wifi hidden in the profile.
I don't think it has anything to do with proxy settings, but probably rather the hardware/drivers. This issue is incredibly annoying and I decided to see if I could maybe get a better idea of the issue, so I tail'd the syslog for a while and noticed that it would generate an error associated with the GPRS signal. I am still waiting on Nokia to call me back on a support request on the issue.