Type opera://settings/vpn in the address field and press enter. Or, click the Easy Setup button on the right side of the address bar, scroll down to VPN, and click "Enable in settings".
Or, just go to settings, ignore the categories on the left, scroll down, click "advanced", and scroll more till you see the VPN section.
The "Features" category in the left-hand pane in settings will get you to the VPN section though.