When using a browser directly to surf websites, location as well as IP details can be identified. A VPN (Virtual Private Network) connection masks this by using a virtual location and an IP address which is different than the actual one.
Here is how to enable the VPN mode in Opera :
Access Settings by clicking on Menu > Settings or type settings in the address bar.
From the Privacy & security tab, locate the VPN section and select Enable VPN.
Once enabled, the VPN tag will be visible next to the address bar indicating that any website that is now accessed will be through a VPN connection.
To know additional details like the VPN IP address, virtual location and network utilization over this VPN connection, click on that tag. Also, the feature can be directly turned off from over there.
This is a handy feature that has been added to Opera and can be used to surf privately just by enabling it.