What happens if you double-click or right-click the .oex extension file and select "open with" Opera web browser? Or dragging and dropping it into Opera's window for instance?

More info:

Extensions

If you attempt to install an extension from a site that is not listed in the "Trusted Websites" dialog under the "Extensions" tab, the installation will be blocked with a warning: "For your safety, you can only install extensions from addons.opera.com or other trusted websites. Trusted websites are defined in the security preferences."

Adding to the list of trusted websites

To add a source to the list of "Trusted Websites", take the following steps:
From the menu, go to Settings > Preferences > Advanced > Security.
Click the "Trusted Websites" button.
Choose the relevant tab: Extensions or Secure Internal Hosts
Click "Add" and enter the web address of the site. You can also edit or delete sites in the list.

Source: http://help.opera.com/Windows/12.10/en/trusted.html