What version of vim do you have ??
Open vim and check if its compiled with +clipboard option, :version and press enter.
I also have the setting that @gandalf mentioned and it works.
[EDIT]
If you have +clipboard then try without
Open blank .vimrc and write these
" For Vim iMproved
set nocompatible
" For encoding
" The encoding displayed.
set encoding=utf-8
" The encoding written to file.
set fileencoding=utf-8
" For global file formatting
set fileformats=unix
" Set copy and paste from/to vim, e.g vim --> browser, browser --> vim
set clipboard=unnamedplus
" Set backspace key to delete lines
set backspace=indent,eol,start
[EDIT 2] Sorry about this
Am when you set clipboard=unnamedplus you no longer need this
You just use regular y and p for copying and pasting
Ex. You copy from browser with Ctrl + c you paste in vim with p or P
and vice versa.