I think you should take him to a vet and have it checked out. Here is a link with some information that may help:
Merck Veterinary Manual
From the above link:
Treatment:
Interdigital furuncles respond best to a combination of topical and systemic therapy. Cephalexin (20 mg/kg, PO, tid, or 30 mg/kg, PO, bid) is recommended for 4-6 wk of initial therapy. However, because the lesions are pyogranulomatous, it may be difficult for antibiotics to penetrate them; therefore, >8 wk of systemic antibiotic therapy may be required for lesions to completely resolve. These lesions are often complicated by concurrent Malassezia spp infections. Oral ketoconazole or itraconazole (5-10 mg/kg) for 30 days may be indicated. The presence of Malassezia can be documented by cytologic examination of nail bed debris and/or impression smears of the skin. Topical foot soaks in warm water with or without an antibiotic solution (eg, chlorhexidine) and the application of mupiricin ointment are recommended. Some dogs may benefit from antibiotic wraps and bandaging. Antihistamines given for the first several weeks of treatment may partially alleviate pruritus, if present. Glucocorticoids are contraindicated.
Chronic, recurrent interdigital furunculosis is most often caused by inappropriate antibiotic therapy (too short, wrong dose/dosage, wrong drug), concurrent corticosteroid administration, demodicosis, an anatomic predisposition, or a foreign body reaction to keratin. Lesions that recur in spite of therapy can also be a sign of an underlying disease, eg, atopy, hypothyroidism, or concurrent Malassezia infection. Lesions in confined dogs are likely to recur unless the dog is removed from wire or concrete surfaces. In some chronic cases, surgical excision or surgical correction of the webbing via fusion podoplasty may be needed. Alternatively, pulse antibiotic therapy (full dosage therapy 2-3 times/wk) or chronic low dosage antibiotic therapy (eg, 500 mg/dog, PO, sid) may help maintain clinical remission and provide pain relief in dogs with chronic lesions. This therapy is recommended only when the inciting cause cannot be identified (eg, idiopathic pyoderma), treated (eg, anatomic predisposition), or resolved (eg, chronic infection caused by foreign body material or keratin).