Well good news, it worked. The problem was so easy; I am so ashamed not seeing it earlier. It was not zeroshell at all. So everything normal like the document said. The problem was that, the Linksys router has 3 MAC address coming out of it. One of them is LAN. In DD-WRT, it shows them clearly. That one has to be added to my firewall to have access to outside. Everything works perfectly after that.
So easy, I can’t believe I never saw it.
Thanks Fulvio for being so patient and trying to solve my problem.