On the left-side of the address field there will be a badge/icon. Usually it'll be a padlock. Unmaximize Opera's Windows. Then, left-click and hold on the icon and drag and drop it to your desktop. That'll create a shortcut on your desktop for the page.
Note that if you want to manually create one, open up notepad, type this in it:
and save it as "nameyouwant.url" (with the quotes) to your desktop.
Is that what you're referring to?