I had the exact same problems as another reviewer here. After hours of effort trying to configure this router with security (including hours waiting for/on the tech support phone line and on the support website), I can only come to the conclusion that the security feature simply doesn't work. I have to say that the support for this product isn't great (for one thing, the IP address for the support admin site published with the CD produces a 404. Use 192.168.1.67 instead). I suspect that D-Link has started to off-shore its software development (it shows). Where I have recommended D-Link in the past, I won't be recommending it anymore.
Recommend this product?
I will say that if you want a non-secure network, this router is easy to set up and reasonably fast. It's only after you've configured it and realized that there's no security that you start to have problems.