This is my guess, as I don't have my Diamond yet:
download.do is used by most mobile browsers to save media/apps... Opera does not know what to do with it. Sprint's picture mail is web-based, and you are seeing the mobile site, because Opera reports itself as a mobile browser.
This is somewhat related to:
Opera Mobile 9.5 "full web experience" (http://forum.ppcgeeks.com/showthread.php?t=38100)
Of course, it's still Sprint's fault for not making sure Opera works with their own services and making customizations/workarounds as necessary.