I just tested this feature out for the first time based on your issue. It took me a little bit to get it working, so I'll go through the sequence of steps of what I had to do to make it work. Before I do that though, given your post above, if the router isn't saving settings, try doing the following first:
1) Go to the "Administration" Tab
2) Click the "Factory Defaults" sub-tab
3) Select "Yes" to restore Factory Defaults, then click "Save Settings"
That will DD-WRT reset your router. Now re-configure your router as you would like, but don't bother w/ the ACCESS RESTRICTIONS yet. After you've reconfigured your router, reboot it and verify that the configured settings have saved. If they have, then proceed to the ACCESS RESTRICTIONS configuration (below). If they have not properly saved, then it sounds like your router may be going bad. You may want to try re-loading the DD-WRT firmware onto the router to see if it'll cure the "settings not saving" issue.
Configuring ACCESS RESTRICTIONS:
1) Go to the "Access Restrictions" tab
2) Type in a "Policy Name" (i.e. "Blocked Sites")
3) Scroll down to the bottom of the page and click the "Save Settings" button
4) Once the page refreshes, ensure that the Policy Drop Down List is on the entry for the policy you just created. In step 2, if you called the policy "Blocked Sites," it should be on "1 (Blocked Sites)."
5) Click the "Edit list of PCs" button
6) Enter the MAC ADDRESSES -or- IP ADDRESS(ES) -or- IP ADDRESS RANGES of the PC's you want the ACCESS RESTRICTIONS to apply to. Then click the "Save Settings" button in the IP/MAC Address configuration box.
Note: I only tested it w/ entering a PC's IP ADDRESS, not a PC's MAC ADDRESS and IP ADDRESS as I've got static DHCP IP ADDRESS assignments in my router based on MAC ADDRESS.
7) Back in the main DD-WRT window, configure the DAYS and TIMES you want the rule to be active (presumably "Everyday" and "24 hours").
8) Scroll down to the "Website Blocking by URL Address" section and type in the web-site(s) you want to block. It worked for me when I used a URL format of the web-site minus the leading "HTTP://" tag (i.e. to block Yahoo, it worked when I entered "www.yahoo.com" but not "http://www.yahoo.com")
9) At the very bottom of the page, click the "Save Settings" button
That should do it. If it works, reboot the router to see if the settings have saved. If they have, that should be it.
Diggler