According to my experience the only way to to this is the following:
- open Google Chrome and import Firefox bookmarks
- then copy Chrome bookmark folder at "C:\Users\User Name\AppData\Local\Google\Chrome\User Data\Default\Bookmarks"
- and insert them to "C:\Users\User Name\AppData\Roaming\Opera Software\Opera Next\Bookmarks"
It sounds complicated, but it works in my case.
If you have no Google Chrome installed I see no other reasonable possibilty.