Configuring OpenDNS

I'm trying, unsuccessfully, to set-up OpenDNS to work with Cox and I cannot get it to work consistently. I've tried using the parental controls with my Netgear C7000 router and by turning off the parental controls and pointing my DNS servers to use OpenDNS. Unfortunately, when I check to see which DNS server my network is using, this is what I see:

C:\>nslookup
Default Server: cdns1.cox.net

I cannot seem to use the OpenDNS servers, even when I direct my router to connect to them. I even tried to use SafeDNS, another web filtering service, but this does not work with Cox either.

How am I supposed to filter my internet and keep my children safe if I am unable to use OpenDNS or SafeDNS? Am I using the wrong internet service?!?!? If I can't get OpenDNS or another DNS filter to work, I will be cancelling my service with Cox and seeking internet service with a different provider.