As strange it might be OperaL.exe does not accept a .url file as command line parameter. Therefore, it is not possible to simply associate .url files to Opera and open them with it.
URL2Opera is a small application that extracts the URL from the .url file and passes it to Opera. This way the association became possible.
Run URL2Opera.cab. Could be installed in main memory or storage card but main memory is advisable.
Use Remove Programs in Settings.
Tap the .url file in Explorer. Opera should start and open the .url target page.
· .NET Compact Framework 2.0