This isn't too hard to do, but I'm not quite sure how to do it without third party tools. I use Resco File Explorer to make a new shortcut with a target something like:
"\Windows\OperaL.exe"
http://www.example.com
You can probably do this with any tool that can modify shortcuts... you can also manually make shortcuts; there are tutorials out on the web, but the procedure is kind of a hassle.
once you have it set up, it works quite well. launches opera if it's not already up... otherwise makes a new tab.
Another option is to make it so that the system favorites open in Opera. That's a bit more involved, but once you do it you can just create a shortcut to any of your favorites in /Windows/Favorites/ and they'll open in opera. (Search for other posts by me if you want to know how to do this -- I'm on my phone right now and can't pimp out my link.)
Finally, if you'd rather open the link in pocket internet explorer (I do this for google voice, since Opera renders it pretty poorly, and PIE does it perfectly), make a shortcut that looks like this, with the relevant info changed:
iexplore.exe
http://google.com/voice/m?\Storage Card\Google Voice Icons\googlevoice.dll,-1
(Ignore the bit after the question mark. That's how you get a good icon for your shortcut... an altogether obscenely complicated task.)