My question would be do you have any other devices on you wireless network at this time? Which you probably do, hence the reason for the wireless network. Maybe you should try adding another new device, like a friends laptop, ideally someone elses iPhone, or something to see how that device responds to your wireless network. If other devices add to your network with no problem then it may be your iPhone. Or, you could try going to a Starbucks or somewhere where you can get free WiFi and see how you iPhone works there.
On a different not I don't think your WiFi signal indicator being grey or blue has nothing to do with anything. I think the color of the indicator depends strictly on the color of your background. Same for your regular Edge or 3G signal strength bars. For instance on your main menu it'll be grey because of the black background and the Wi-Fi indicator will be blue, when your are in Safari, because the background strip in grey. Am I missing something with this??