That happens if you are running in compatibility mode. Right click your shortcut, choose Properties and go to the Compatibility tab. Turn off the checkbox "Run this program in compatibility mode for:". Click OK to dismiss the properties dialog. Close and restart Opera and the border should be gone.
I don't think there is a way to set media files to be downloaded automatically when you click on a link to them, you will need to do it manually by right clicking on the link or using the download feature in the player.
I can confirm.
Open up a new tab.
Type g and google.com will autocomplete with oogle.com being highlighted in blue.
Press ctrl + shift + right arrow and the selection will trim down to the next word boundary so that just com is highlighted. In Opera, the shortcut doesn't do anything. (Probably because the autocompleted part isn't considered part of the text yet)