Ugh, OpenDNS... not my cup of tea. But I'll leave it at that, use forum search in case you wonder.
Yeah, DNS requests are cached at various levels in your system, including browsers... but since TreeWalk does have an effect when my ADSL line is maxxed out, I guess that browsers perhaps don't tend to keep DNS entries for their max lifetime, and most likely don't persist the DNS cache when you close the browser (wouldn't make sense either, imho). Dunno about Windows' own DNS cache, but treewalk does seem a bit more efficient.
I wouldn't mind a DNS cache for Windows that isn't bind-based, btw...