I've been waiting for another Mac user! What we need are about a million more to come to this forum and ask the very same question so that hopefully DLink will consider implementing an afp daemon inside the router.
Please note my earlier submission > DIR826L Needs AFP for Mac Formatted USB HDD?
The fact is, as of now the DIR-826L does NOT provide the Apple Filing Protocol that is needed for a Mac to "see" a Mac (formatted) disk. Yes, you noticed that the DIR-826L works great with Windows formatted disks. And there is even an instruction about connecting your Mac to the Mac formatted disk using smb:. But that is a Windows centric protocol to allow Windows to "see" Mac disks. So when you do connect your Mac to the Mac formatted disk using smb:, Finder talks to "Windows" that talks to the Mac disk. INSANE! (Actually it is NOT Windows per se, but rather a program called SAMBA that provides a Windows view into Mac disks.)
I am kind of surprised by FurryNutz response, because he told me he noticed the same thing you (and I) did and that I should call D-Link support. I haven't because when I have encountered such issues with products I've purchased in the past, the eventual response is "not supported" and "we offer refund".
Perhaps you are more willing to beat your head against the wall than I am.
Bottom line is: until D-Link implements an afp daemon inside the router's firmware and releases that in a future fw upgrade, WE ARE HOSED! My guess is that D-Link will consider doing this if a hundred thousand or so users discover what you and I have, complain in exasperation and ultimately return the router for a refund.