FIltering Adult Content

An alternative would be K9 Web Protection is a kid's web filtering and blocking software that is extremely configurable. It has filtering, word block, site block, category block, time limits/restrictions and also blocks ads. I've used it to help block content like you're requesting...

It works cross-browsers; one configuration covers Internet Explorer, Firefox, and others all one the same machine.

K9 Web Protection: http://www1.k9webprotection.com/

For Windows only, and works very well (free). Installs separately - not as an addon, and all configurations are protected by a password...

I have not seen a situation where OpenDNS filtering does not work.

Are you sure you are actually using OpenDNS/did you set your routers or machines DNS correctly?