It seems to be a different issue. The site you are trying to connect is asking you to provide a login, there doesn't seem to be any proxy involved.
Maybe the site is misconfigured or is under maintenance.
So the problem came back again. This time I was not about to lose all my settings and start over again so with some additional testing I found the culprit to be "C:\Users%username%\AppData\Roaming\Opera Software\Opera Stable\History" file. I renamed the "C:\Users%username%\AppData\Roaming\Opera Software\Opera Stable" directory out of the way, ran Opera and let it create a whole new "Opera Stable" directory and started coping files in one at a time to see which one caused the problem. So now I have a batch job I can run when the history file gets corrupted so I can replace it with a fresh one. I hope this helps others who might have similar issues.
I'm having this problem as well. It's very annoying. It won't go away unless I quit opera. For now I have to manually open a new window and copy the URL to the new window instead of dragging the tab out.