You have two separate, but related issues: putting (and keeping) Opera in kiosk and full-screen modes, and putting (and keeping) Windows in kiosk mode. Opera is an application program running on an OS, and unless you bullet-proof the OS as well, anything Opera does to protect its kiosk mode can be bypassed through the operating system... as you've noted. Either you have to block the OS from being directly called by keyboard, or you have to accept that the application (Opera) can be closed but block the user from doing anything else but reopening it. Unless you elect to use an optional software program to support kiosk operations, what you can do in Windows 7 directly is limited to disabling interactive shutdown, log-off, locking the station, and switching user accounts.

See also:

If you want to go beyond these, you may have to look into a kiosk-specific piece of protection software like Secure Lockdown or something similar.