First, add the POP account to Opera and let it retrieve any messages that are in the Inbox on the server. Then, import Received.mbs via "Menu -> settings -> import and export -> import mail -> import generic mbox -> add file" and import into that existing POP account (not a new one).

By default, the messages will be imported as received messages. Then, for any duplicate messages you have, delete the imported copy and keep the newly-fetched copy that's in "All Messages/Unread".

To import sent.mbs, you use the same "import generic mbox" wizard, but you set "sent.mbs" in the "move to sent" drop-down.

Also, for "All Messages/Received", click the "settings for this view" button on the message list toolbar and check the "show" settings. Make sure the ones you want checked are checked so that you can see the messages.