There may be a program that creates shortcuts easily for you, but the manual way you can do this using opera as the browser would be to use something like Total Commander and browse to the \Windows\Start Menu\Programs folder and create a new shortcut and set the target as:
"\Windows\OperaL.exe"
http://(insert URL here)
Then when you click on one of the icon slots in the Start Menu it should be in your list of programs to select. It will have an Opera icon, but I think you can point to another icon inside the shortcut properties as well if you choose.