I seem to have the same issue, I can download the setup, but when I try to run it, it doesn't start. I have tried both the online and offline installers, but they do not work, however the archived opera 95 installer does work.
I also have another issue which I'm unsure if it is related or not. I can't seem to update opera. When I search for new updates the browser tells me it is up-to-date, even though I have found later updates. (it is currently on update 95.0.4635.84)