Our review of Opera 8.65 for Series 60 mentioned that opening an existing link in a new window is not possible as of now. However, thanks to TamsS60 reader Qasim, I can now present you a way to make it work.
Open the settings form of Opera, then navigate to the shortcuts tab. There, choose your key of choice - and assign it to Open in new Window.
From now on, pressing this key when a link is highlighted will do just that - enjoy!