Opera mail doesn't have folders. It does have labels though where you can create a label and set "hide these messages from other views" in the label's properties to simulate a folder. In WLM, what you need to do is export a single folder as eml files and use a converter to convert them to mbox files. (eml2mbox). Then, you can create the label in Opera, import those mbox files, select them and apply the label to them. Then, you repeat the process for other folders. You can do the same thing with Outlook's folder files (I think pst files) with a pst to mbox converter.