Goto the URL opera://settings/content/siteData, make sure the default behavior is set to "Allow sites to save data on your device" and make sure all the customized behavior lists are empty.
Goto the URL opera://settings/cookies, make sure it's set to "Block third-party cookies in Incognito mode" and make sure the allow list is empty.
Goto the URL opera://settings/clearBrowserData, switch to advanced and delete just "cookies and other site data" and "cached images and files" for all time.
Goto the URL opera://about, take note of the "profile" path, close Opera and delete the "Cookies" file in the "Network" folder in the profile folder.
Then in Windows Explorer (File Explorer) (with extensions and hidden items enabled under View -> Show), browse to "C:\Users\yourusername\AppData\Roaming". Then, right-click on the "Opera Software" folder, goto "properties", switch to the "General" tab, click the read only box till its blank (all white) and click apply. Then, switch to the "Security" tab, make sure your username is listed in the "Group or user names" field and make sure your user have full control (checkmarks all the way down the "Allow column" except for "special permission". Then, apply if needed and OK out. Then, repeat for the "Opera Software" folder in "C:\Users\yourusername\AppData\Local".
Then, test things out in Opera to see if cookies stick and survive a restart of Opera and a restart of Windows.
When shutting Windows down or restarting it, make sure you properly exit Opera. Do not leave Opera open and have Windows force-close it. That can corrupt Opera's files.
