As the above answers address, Willy has a mistaken sense of the American Dream. (Or the modern world has stream-lined and distorted the original "Puritan Work Ethic" into a sales pitch and quick buck.)
One aspect I would like to emphasize is this. Each generation would provide a life better for the one that follows. The modern interpretation of the American Dream involves getting the deal done at any cost. Willy gives stockings to the secretaries in order to be more productive, make more money to provide for the wife (for whom he can't afford to buy stockings.)
The infidelity falls into the same catagory, in a large part. It is a business gesture in order to provide. Biff's witness to this sheds light on the rationalization of Willy. He almost seems indignent enough to say, "Look kid, I did this for you and your mother! Can't you see that?"
Willy is left talking through this circular logic. In trying to create a better life for his sons, he destroys them.
One of the primary themes of Death of a Salesman is that the American Dream, the philosophy that a man can become or achieve whatever he wants through industry and hard work in America, is potentially unrealistic and, with its emphasis on material success, seriously flawed. Willy Loman fully embraces the idea, however, and firmly believes that if he works long and hard enough, he can achieve the wealth and recognition he craves. In pushing himself to excel as a salesman, he actually denies who he really is - he has a fine talent as a carpenter, but to pursue such a mundane calling seems unworthy of his lofty, materialistic aspirations. Overworked and beset by stress and financial difficulties, Willy dies, having missed out on what is important in life, even as his aspirations remain unfulfilled.
Willy Loman believes in a corrupted version of the American Dream (the American Dream being that initiative, hard work, and some creativity) will make you a material success as opposed to the European requirements of birth, education, and connections.) Note that "material success" is an important part of the "Puritan Ethic." (See other notes.) Death of a Salesman contrasts Willy's understanding of the American Dream (gained from his father--a professional fake-- with that of his Uncle Ben --a "typical" explorer/exploiter --of under-developed nations, e.g. Africa. "By God, I went into the jungle at seventeen, and I came out a rich man." Willy's corrupted dream is that ....(check back in )