I did a web search, asking if Opera bypasses or ignores the windows HOSTS file. One of the answers listed was this:

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Go to opera:config#SecurityPrefs|EnableTrustRating and uncheck the Enable Trust Rating checkbox if you do not wish to have Opera automatically use the anti-phishing filter. You can always check a site on demand by using CTRL + I on the keyboard, clicking Fraud Protection tab, and clicking the Perfor...

http://my.opera.com/community/forums/topic.dml?id=194039

That link doesn't seem to work any more (is all the content formerly on my.opera.com lost?).

This link (circa 29 Oct 2009):
http://blogs.msdn.com/b/jjameson/archive/2009/10/29/latest-version-of-opera-ignores-hosts-file.aspx

has this:

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I discovered there's a known bug with Opera version 10 that causes it to ignore your local hosts file

I'm running Opera 12.02 (under windows 98se with KernelEx) and even though I have entries in my hosts file, I'm looking at my router's outgoing logs and it seems that Opera is somehow able to visit the sites I'm trying to block access to. I'm not running win-98 under a VM or anything like that.