Are you talking about it being simply on the lock screen? or when the phone goes to idle? (i.e screen turned off)
If idle then...
It's a Windows Phone thing not a a problem...
There is an update next year which will add the option allow Wifi to remain active when the phone is in idle.
This option is actually available on the HTC 8S only at present.
ahh, thank you very much, i didnt know this. it is only happening when the phone goes idle.
normally it wouldn't be a problem, but my phone is still locked to ee (waiting for unlock code), so im using wifi to keep in touch with my gf on fb over wifi, and ofcourse, if it disconnects, i dont get the messages through.