How can I change the DNS on a cable router?

Ivan needs to setup website blocking to protect his son. The problem is that the modem/router provided by the ISP doesn't allow him to change any of the settings. He might be able to disable the router portion of his modem/router, and buy a replacement for the router. Then he could change the DNS settings. The chatroom says he could set up a "DMZ" to his own router.

Can he alter the firmware? Leo says he wouldn't do that. Just leave the box alone and go with a third party router. He can use OpenDNS, and set it up to block websites through that.