Regardless of your connection type to your ISP (DHCP, PPPoE,...), you need at least a DNS server (DNS server will resolve your typed in hostname to IP) to get on the wire. Advanced DNS feature simply fill out these DNS server entries
here with DNS servers runs by OpenDNS for D-Link. It has some funky features, but typically it's slower than your ISP DNS servers.
Personally, I prefer Google DNS servers (8.8.8.8 and 8.8.4.4) over my ISP and OpenDNS server. At my place, It is faster than OpenDNS, a little slower than my ISP's but it does not block some sites.