I was having problems getting OpenDNS filtering to work on some of my devices. Eventually I found out that my AVG Internet Security had a component called "Fake Website Shield" which bypasses normal DNS lookups and uses it's own DNS lookup method through a secure connection. Disabling this component allowed me to use OpenDNS filtering.
In my version of AVG Internet Security, I can disable this feature by going to Menu -> Settings -> Components -> Fake Website Shield.
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