Open Opera settings by clicking the big red O button in the top left corner, clicking Settings and then Preferences.... Alternatively, use keyboard shortcut Ctrl+F12 for this.
Click Forms tab and clear the Enable Password Manager check box. This is very important because malware can easily steal all user names and passwords for sites you have visited (including your bank!). Use Password Safe for remembering passwords instead.
Next, open Advanced tab and select Content from the left.
To enable Click-To-Play feature that prevents drive-by-attacks with hidden malicious iframes from running, tick the Enable plug-ins only on demand check box. This replaces plug-ins, such as Adobe Flash Player, Java and Silverlight with large Play buttons - to view videos or other contents, just click the button once.
Click OK after making changes.
Back in Advanced tab of Preferences window, click Cookies on the left. Activate the Accept cookies only from the site I visit option.
Those very concerned about their privacy should click to select the Delete new cookies when exiting Opera check box.
Never enable this option if you are using two-factor authentication on web sites such as Gmail or Facebook!
Click Security on the left side. Enable the Ask websites not to track me (available since version 12.00) and Enable Fraud and Malware Protection (this used to be "Enable Fraud Protection" until version 10.61) options. These will prevent advertisers from storing your browsing habits and keep you away from malicious sites and downloads.
Finally, select Automatically install updates from the Auto-update box.
And the last thing - click Network on the left side. Clear the Enable geolocation box to disable web sites and applications finding out where you are. This is a very important step towards better privacy in today's world.
That's it - click OK button to return to Opera.
To run your browser even more securely and protect it from zero-day attacks, use the free Microsoft EMET.