Just found this @Xda-Develpers, but have not tried it yet...Just got a cooked 6.5 ROM with built-in Opera Mobile 10....which looks very promising...
Alternative solution + solution for opera 10
Im using a touch diamond runing wm 6.5.3 with opera moobile 9.7 and at first it seemed not working, althought it created the opera6.adr file on the opera9 folder under windows, but then i realised that my actual opera6.adr file used by opera is located under the opera9\profiles folder, so i moved the created opera6.adr file to there, overiting the original file and...poooof! IT WORKED!
its not such an automated solution but might work for thosee having isues like i did...and if im not wrong, this also works for opera 10 if you follow this method:
-create an opera9 folder under \windoows
-run ImportIEFav.exe
-copy the created opera6.adr file located under \windows\opera9 to your opera installation folder under the profiles subfolder. ex: if your opera is installed under \storage card\opera, copy the \windows\opera9\opera6.adr file to \storage card\opera\profiles.
-delete the opera9 folder that you created earllier on \windows
-you're done! open opera and if all went good, all your mobile ie bookmarks shall now appear on opera.
Import IE Mobile Favorites to Opera (TouchHD/Touch Pro) - Page 3 - xda-developers