First, a proxy is a web page that provides Internet users with the ability to browse websites that a content filter, such as WebSense or SmartFilter, may block. a proxy server is a server (a computer system or an application) that acts as an intermediary for requests from clients seeking resources from other servers.
Now, I have never used Opera because it has a thing called P2P in it that allows other users, sometimes without you knowing it, into your system. That is why it is not allowed on a lot, if not all, government systems because of the ability to use it to hack into a system and then gain access to the domain.
As to configuring it, you should, by looking at other browsers (IE, Chrome, Firefox) be able to go into Options and Settings and just turn it off, especially since you are not going through a proxy server, are you?
Hope this helps out and good luck.