When creating a shortcut file (foo.url) with Chromium-based browsers (like Chrome and Opera), they just do:
in the source of the url file. For it to work how you want, Chromium-based browsers need to update the shortcut feature to emit:
instead like Internet Explorer does. Then things will work.
You can edit a shortcut with a text editor, add the missing info, save, launch the Windows Task Manager, select Windows Explorer and click "restart" for it. Then you'll see the icon for the shortcut change to what you want.
So, in short. Opera doesn't support this at the moment. But, it should be possible for Opera to add it.