Use http://www.winhelponline.com/blog/register-firefox-portable-with-default-programs-in-vista/ and point it to Opera's launcher.exe (not opera.exe). Then, right-click on launcher.exe and pin to taskbar and start menu and create a desktop shortcut if you want.

It'll say "Mozilla Firefox, Portable Edition" in Default Programs, but since it'll be set to Opera's launcher.exe, Opera will actually be set.