Yes - you should have a USB port on your router. It is the easiest and fasted way to set things up (trust me!).
Some users without a USB port on their router have told me that they've made things work using a `CIFS Automount` partition... (but I have not) - see the Administration tab in the DD-WRT GUI.
If you choose to forge ahead without a USB drive plugged into your router, YOYO. I do not know how to make this work. If you figure it out then let me know and I'll post your step-by-step instructions here.
See also:
- Recommendations regarding USB drives
- How should I format my USB drive?
- How do I configure USB support in DD-WRT?
- How do I configure USB support in OpenWrt/LEDE?