[chas123]

If you are using the HTC task manager (drop down in upper right corner) you can set the x button to close Opera by going to:

HKCU\Software\HTC\TaskManager\TerminateProcess

if the dword "Opera9.exe" exists set its value to 1
if it doesn't create the dword and do the same.

There are cabs around to do this for you if you do a search.