WinGet can automatically intercept Opera's default download dialog. To enable integration with Opera, copy the file WinNP.dll from the WinGet installation folder to Opera plug-ins folder.
Then you need to set file types which WinGet will take over downloads. Open Opera preferences, choose File types page, select desired file type and click Edit button. After that turn on Use plug-in check and choose WinGet Netscape/Opera Plug-in in the list of plug-ins.