Make sure your username is your email address. On the "servers" tab in the account's properties, retype your username and password after making sure the settings are correct.
Also, log into outlook.com, click the gear, goto "options", goto "pop and IMAP". Make sure POP is enabled for the account if you want to use POP.
You might also have to go to account.live.com or account.microsoft.com , log in, goto security options, other security options and turn off two-step verification if it's on.
If you're using IMAP, after setting up the account and trying to connect, you can close down Opera and edit incomingN.txt in the mail folder where N is the number for the account as seen in accounts.ini. In incomingN.txt, you can force a single connection for the account. See "Menu -> help -> about Opera Mail" for the location of the mail folder.
Also, make sure your anti-virus email scanner isn't interfering.