Open Opera and click "Tools" then "Preferences."
Click the "Advanced" tab.
Choose "Downloads" in the left-hand pane.
Choose a download folder in the relevant field. Files won't automatically save to this location, but it's where Opera will begin its Save dialog.
Scroll through or search the list of file types to change Opera's behavior -- essentially to tell Opera to open -- and how to open -- certain file types, or to send certain file types to other applications.
Click on a file type and choose "Edit" to choose default behavior, such as "Open with default application" or "Use plug-in." The latter is for file types Opera can't open natively, but can use a plug-in to open. For options that require it, scroll or browse to the application or plug-in as needed.