In Opera, click tools > preferences > advanced tab. Click "downloads" from the menu on the left. Uncheck "Hide File Types Opened With Opera" in the top right corner.
Select "application/internet shortcut" then click the "edit" button. Make sure "Open with Opera" is the only one selected. You might want to look at the msword association as well.
Anyway, that's were all of Opera's file associations are located and can be changed.
Also take a look in windows explorer at tools > options > file type tab and check the associations in there if the above doesn't happen to work for some reason.
Edited by HitSquad, 21 September 2006 - 07:54 AM.