This should be posted in maybe the Privacy Forum, this is an Antivirus Forum. Personally I use Proxomitrom with Grypens Rules set. Opera does explain how to block its ads in the help section.
Tools\Preferences\Advanced\Content Block Content... button Or right click on page and select Block Content and then just click on elements to remove from page and click Ok. Mods move this to appropriate subforum...
You can do that but the problem then is tht Opera adds the entire server to the list of ads to block which might be a bit too strong. Instead, do as suggested above but hold the shirt key down while clicking whatever you want to be removed. That way only that particular element gets blocked. BTW you need to click done when your finished not okay.
Well you have to manually edit the entries and adapt them with wildcards. I'm using same filter list as i used to use in Firefox. For example */ads/* will block all files that have /ads/ in link. This way you block like 15% of all stuff. Then you need http://ads.* and */banners/*. This blocks like 50% of all stuff already. For the other 50% you have to use lots of derivates of these. Just learn the wildcards. Very powerful and simple stuff.