insecure.org and lots of news sites reports that there exists a buffer overflow in Opera for Windows (both version 6 and 7) when downloading files with long names.
This vulnerability allows an attacker to gain full control over the victim machine. You can read the full report. Programs that exploit this vulnerability aleady exists. Opera says that a new version (probably version 7.03) will be available for download late today or tomorrow. Upgrade your browser as soon as possible!