Thanks Dave! It says:

Install: C:\Program Files\Opera
Profile: C:\Documents and Settings\r0\Application Data\Opera Software\Opera Stable
Cache: C:\Documents and Settings\r0\Local Settings\Application Data\Opera Software\Opera Stable

I deleted the Opera Software folder but when I run Opera it makes a new folder and a new profile.

On the other hand I just verified that the cache files are being created in my custom cache path even if About Opera shows the default path.