Just in case someone just navigate to the last page, the latest dev version's VPN does not work. But the VPN in the previous version works. Here's the link.
https://get.geo.opera.com/ftp/pub/opera-developer/39.0.2226.0/win/
To stop auto-update, rename operaautoupdate.exe in C:\Program Files\Opera developer\39.0.2226.0 (or wherever Opera Developer is installed) to something else, such as operaautoupdate.exe.bak
Credits: previous guys who posted these. at https://forums.opera.com/topic/15278/opera-developer-version-39-0-2234-0-vpn-issues