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:
ExtensionsIf 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 websitesTo 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.