1. take note of the current locations shown in 'Help > About Opera'
2. close Opera
3. copy the Profile and Mail folders from the 'Documents and settings' folder to your chosen locations
4. open 'opera6.ini' from the Profile folder in a plain text editor
5. update all the file paths you find there
6. save and close 'opera.ini'
7. create a shortcut with this commandline:
"C:\Program files\Opera\opera.exe" /settings "{path to profile folder}\opera6.ini"
... of course, using you chosen locations.
8. done

>> How to change the place where Opera stores your data