Close down Opera and delete autosave.win in the "sessions" folder in the preferences folder. See "Menu -> Help -> About Opera Mail" for the location.
Before you close the message list tab, ctrl + click the selected message to deselect it so that no messages in the list are selected. Then, when you open the list the next time, Opera should automatically select the top (or bottom, depending on sorting) message in the list.
Except for the trick about, what Opera should do is automatically select the message you had selected before you closed the message list tab.