Opera, unlike other browsers, can be configured to have custom download locations for every filet ype. Go to Tools > Preferences and click on the Advanced tab of the menu that pops up. Select Downloads from the left menu, uncheck “Hide File Types opened with Opera” and double-click on the file type that you want to customize.

You will notice that the “Show Download Dialog” option is the default action for most file types. To change that you simply check the boxes “Save to disk” and “Do not ask for folder, but save directly to”. Click on Choose afterwards to select a location where files of this type should be automatically saved to from now on.