Actually yes. Thanks to you! I went into the settings and the Default apps and from there to "choose default apps by file type". I change .url to "Internet Browser". It was set for Firefox and didn't actually offer Opera as an option so Internet Browser was the only choice. It worked though. All the shortcuts are opening in Opera now.
@bblans You need to check in a regular tab to see if it happens only on the sidebar panel or not.
And you have to check in other browsers to see if it's a Facebook issue.
@lt-ii You might want to do a complete uninstall; reboot; then in windows explorer go back to the path in step #1:
"C:\Users[User Name]\AppData\Roaming\Opera Software\Opera Stable"
and completely delete the contents in the "Opera Stable" folder including all sub folders.
You may find that the installer will work again after that.
Good luck.