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This is only a modem device, with no routing functionality. With this said, there are a couple alternate steps that can be explored:
1. Set up your computer's DNS settings using the steps at https://support.opendns.com/forums/21618384-Computer-Configuration. This is as effective as using your router, but you'll need to set up your computer's manually with the above instruction set.
2. Set up a new router to your network and configure that device with our steps at https://support.opendns.com/categories/20080020-OpenDNS-Device-Configuration. Then have all your devices connect to that router to be filtered by OpenDNS.