Is there a way to connect my iPhone 4S to the Internet with WiFi when the connection is using the PPPoE protocol?
Do you mean to connect to the wireless router itself and get internet access this way?
According to Apple Support Forums,
Generally people will have a router establish the PPPoE connection and then share it with the devices on the local network.
Do you have a computer or another device already connected to the local network? If so, you might be able to share the connection off one of these devices as a separate Wi-Fi connection.