Samyjoey -
As Laura says, it would help to know more about your specific setup. However, you should be able to connect just fine over Wi-Fi to an Exchange Server. On my WM 6 phone, I tried syncing with our company's Exchange Server over Wi-Fi, with the phone's cellular connection turned off, and it worked as expected, except for one tricky thing. I was logged into a corporate hotspot, so at first I put "Private Network" as the type of Wi-Fi connection. That didn't connect to the Internet at all, so I had to go back to connection settings and choose "Internet" as the Wi-Fi connection type. Maybe just checking your connection settings will help resolve the issue...