OpenDNS stands for "Open Domain Name Server".
An ordinary DNS server is used by your web browser and other internet applications, and is usually provided by your ISP (Internet Service Provider). If you start using OpenDNS, then you will start to realise what it does, and will be unlikely to stop using it - thus it will become your "preferred" DNS.
A DNS server looks up the numerical IP (Internet Protocol) address of any domain to which you are effectively requesting access when you enter a domain link into the address bar (e.g., gmail.com) or when you click on a link on a web page.
The DNS server settings are TCP/IP addresses that are usually automatically created when you install your modem and subsequently boot it up, whether that is an ADSL or a cable modem (ignoring dial-up modems). However, these addresses can sometimes only be set by opening your computer's TCP/IP properties and manually adding the DNS server IP addresses provided by your ISP.