It will tell you how to get the Opera icon, sort of (you have to dig). There is also a stand-alone CAB for the program.
Since I'm a nice guy, I'll simplify it.
1) Download the Opera Tweaks .
2) Copy Opera_Icon.dll and ico to appdb.
3) Modify your existing shortcut to say "?\Windows\Appdb\opera_icon.dll,0", at the end of it, no quotes. Mine reads: 28#"\Windows\jbed.exe" -run s0_?\Windows\Appdb\opera_icon.dll,0
4) Soft Reset.
The magic portion is the number after the the letter "s" in the shortcut target. This is the list position of the Java Midlet in the Jeodek/Jbed application list. If you install Jeodek/Jbed as a fresh install (non Mogul users), and then directly install Opera Mini, just use the number "0" to refer to Opera Mini ("\windows\jbed.exe -run s0_"). If you install another MIDlet (after Opera Mini), its index will become 1, then the next installed Midlet will have an index of 2, and so on.
You can specify MIDlets using vendor and MIDlet suite name; no need to figure out which number corresponds to which installed MIDlet. For Opera Mini, use: