Log into the modem at »
192.168.1.1/ and choose My Connected Home (or My Network) then click on "Network Connections" from the left hand side navigation. From there, choose the edit button for the Broadband Connection (DSL). Under VCs, select the edit button for the option 0/35 which should be the only one enabled besides ATMLBCK (ATM Loopback). From that point, DNS Primary and DNS Secondary are where you fill in OpenDNS's IP addresses.
Save, and possibly reboot the gateway if need be and the Gateway will proxy off your DNS requests to OpenDNS instead of Frontier's offered servers.