This tutorial guides about how to turn off proxy settings in iPhone (iOS 4 – should work on previous ones too).
Proxy is disabled by default but if you still want to enable or disable it here is how to proceed.
1. Goto: Settings
2. select wifi to goto wifi list
3. click on the blue arrow next to your network
4. on the next page, goto the bottom of the page to see the option to turn it off
You can also configure other proxy related options on this page for your iPhone network settings.