How to get my iPhone 4 to connect to my home network?

I just got a new IPhone 4 and I can't even set it up. When I get to the part where I have to join a network it shows my home Wi-Fi network and I can select it and type in the password. It loads for a few seconds and then tells me that it can't connect to the network. It doesn't give me an error or anything, so I have no idea what to do. Any ideas?

Added (1). Turning it off and back on didn't work.

That happened to me too, what I did was that I turned off my iPhone then turned it back on, after that everything was fine

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