As long as the file extension is not considered an executable, you should be able to set this up manually.

In Opera, goto the URL opera://about, take note of the "profile" path and close Opera.

Then, open the "Preferences" file in the profile directory with JSONedit.

Under root, right-click on the "download" object and choose "add child". Once the child is created, set its type to "string", set its name to extensions_to_open, and set its value to the extension of the file you're downloading. zip for example (no dot/period). You can add other extensions too if you want. Just separate them by :.

Then, save your changes and you should be good to go for that file extension if it's not considered an executable. If by "applet", you mean a class file, I'm not sure if that'll be allowed, but you can try at your own risk of security.

Note that your modifications might get overwritten if you change the download settings in the user interface. If you do that, you'll have to make the modifications again.