Does it happen with all links to pdf files? Do you have an example link?
Yes, Opera always tries to download them instead of just opening PDFs on itself.
This ( http://img02.imgland.net/OA47wd.png ) is how it supposed to work like. I took it from Firefox, as you can see it can preview it with its default PDF viewer (not Adobe etc.) without a problem instead of downloading it.
But when I try to open the same page with Opera, I'm facing with this ( http://img02.imgland.net/f1l44Oe.png ). It shows me only a blank screen instead of previewing the file.