In Opera you may adjust cookie permissions and site data permissions. To delete cookies, select Settings > Preferences > Advanced > Cookies and check Delete new cookies when exiting Opera and close Opera when you have finished browsing. To disable cookies, select Settings > Quick Preferences and uncheck Enable Cookies. Select Settings > Preferences > Advanced > Cookies and select Accept to accepts all cookies.You may also select Accept only from the sites I visit to allow only cookies that are set by the Web site you are visiting, Never accept cookies to not accept any cookies and be prompted to accept or deny a cookie, Manage cookies to list all the cookies. You can also change cookie settings for a specific site, using site preferences. Select Settings > Quick preferences > Edit site preferences.

Source: Opera Support