I have a D-Link DIR-655 router, hardware A4 and firmware 1.34NA. I used to have firmware 1.21 and back then web filtering did work. Recently I upgraded to 1.34NA firmware and now web filtering does not work.
Obviously you must configure it properly by both putting your website terms in the Website filter section, set to DENY access, then make a rule(mine was WebFilter) and apply it to the desired machines...I did all that...and no love

The less than obvious solution was to disable securespot

When I upgraded to 1.34NA securespot was enabled by default and I left it enabled until reading various posts here. Then I disabled it and my webfilter started working without making any changes to my settings! Someone else has probably already posted to this effect but I thought I add it as well. Everything else has been fine...running 2 D-Link DWA-643's in N-Only mode as well as 1/2 dozen wired machines on gigabit.
Hope this helps someone out there
