I have had no problems with Open DNS under 2.02, 2.03, 2.05, or 2.06.
I just made a screen print, but no way to post it, sooooo.
Goto the router>>>>Setup>>>>Internet>>>>Primary DNS Server: 208.67.222.222>>>>Secondary DNS Server : 208.67.220.220>>>>Press save settings at the top of the screen, the router will re-boot and your settings should be saved.
If you are using the filtering features to keep the kiddies out of trouble, as I am. Be sure to load the client onto a computer that is usually on so the IP address is updated regularly, if not, disregard.
If after you save it, it does NOT save, then you may want to go back to 2.03.
There is some other stuff we can do, but too much typing if the above will work.
The only way I can really help with this question is by being in front of my router, so I will do my best to get you going, but I don't get home until 1700 PST.