I assume that you are referring to the Opera internet browser, rather than in the context of music.
All you need do download Opera is a browser, your PC (assuming it's running windows) should already have a copy on internet explorer.
Open IE and navigate to www.opera.com there is a green button saying 'Download Opera'. Click that, and your PC will download it. IE may required you to say ok to the download first.
Java (in the context of Opera) is a plugin that will allow your Opera browser to display content written using the Java programming language.