FYI: OpenDNS has no filtering options by default. You need to contact customer service and their website says NOTHING about this.
Wut?... You must be using it wrong, then... It might be a little convoluted to set up, but you should be able to block domains even with the free version
I'll write a tutorial in the near future. It will pretty much be the same one as in the 3DS section, but I'll include pictures