The steps to save your Opera Mail emails depend on whether you use Opera Mail in the Opera browser or as a standalone program. Any differences will be pointed out in the directions.

Select Opera Mail in the upper-left corner of the window, then choose Help > About Opera Mail.
Copy the location next to Mail directory, then close the program.

Navigate to that folder in Windows Explorer.

Move to its root folder. The aim here is to see the mail folder—the one that holds all the mail information. For example, the folder in this example is:

C:\Users\Jon\AppData\Local\Opera\Opera\mail\
Move up one folder. Following this example, the destination is:
C:\Users\Jon\AppData\Local\Opera\Opera\

Right-click the email folder and copy it. Another quick way to copy a folder is to left-click it once to highlight it and then press Ctrl+C on the keyboard.

Paste the mail folder where you want the information to be backed up. This could be an online file storage account, a location that gets backed up online, an external hard drive, a flash drive, or another folder on the same computer.