First,you have to check with DD-WRT.com if your router is supported with a DD-WRT firmware, which ensures your router can connect directly to a VPN server. If so, then upgrade your firmware to the latest DD-WRT firmware for your router from DD-WRT.com. Usually instructions to connect via DD-WRT are provided by your VPN provider.
Second, for OpenVPN protocol: In order to work, script (provided by your VPN provider) may require BIG, MEGA, or VPN version of the DD-WRT firmware.
For PPTP or L2TP protocol: after you are done inputting values (provided by your VPN provider) in Setup > Basic Setup : Apply Settings -> check with http://ipaddress.com/ -> if not working then try other IPs for a while -> if still not working then restart router by Administration -> Management -> Reboot Router.
Third, whenever you connect to VPN via the router, the router disables passthrough for the protocol used in order to work via the router. So after you are done, you probably won't be able to connect to PPTP via PC; to fix that: Security -> VPN Passthrough -> select Enable for PPTP -> Apply Settings.
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