First, reboot your iPhone and try again. To reboot, hold down the power and home button at the same time until the iPhone turns itself off. Should take about 15 seconds.
Then, make sure you have an internet connection. To do this, quit Fuel Finder immediately and launch Safari and try to surf to www.gasbuddy.com. If the web site doesn't load then it was probably an internet connection issue. Confirm you are on the internet and try again.
Also, sometimes you will get the Not Connected to Internet message when you first launch Fuel Finder but it will still work fine. This is because Apple requires that we check the internet connection when the app first launches. Sometimes right at that time you may have a network issue or your local network may not respond to our checking code fast enough. But normally Fuel Finder will work just fine even after you get this message.