Go to Settings → Default browser and look for the option that says something like “Ask me when Opera isn't the default browser” and turn that off. You can also type opera://settings/defaultBrowser into the address bar to jump straight there.

If it's already turned off and the popup keeps coming back, Opera may not be saving its settings properly. I'd check that Opera isn't being run with a temporary/private profile and make sure it has permission to write to its profile folder.

Also, if you don't want Opera as your default, set your preferred browser under Windows Settings → Apps → Default apps. Then restart Opera and see if the notification finally stays gone