Why does it always say can't connect to iTunes?

The thing is - on my iPhone 3GS I wanted to download some games cause I haven't got much and I won most of them. When I try downloading something, it says it loads but then up comes a message saying " can't connect to iTunes Store". And when I go on iTunes and App Store, everything works perfectly. So why doesn't it let me download anything?

This is a technology question. You'll get better answers in that section.

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