@sgunhouse That's my point--I know you can do that in virtually every other browser, doesn't work in Opera. It's the only feature that I haven't found since switching to Opera, but I use it a lot.
Not a Mac user myself, but see if this thread helps you first. If not, there should be an option to export bookmarks either in the menu or in the Bookmarks manager.
@jaffar , it looks like some of the content distribution networks Opera uses are blocked in Bahrain. Your best bet is downloading directly from our archive site as @sgunhouse pointed out.