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Because when you made that "shortcut", I'll bet you copied the HTML file to your system. When you click on that to invoke it, any relative link in that file will now be resolved relative to the path on your system where the file was saved.
I don't know Opera, but I do know the web, and it sounds like this is what's happening. Look at those files on disk to see if the HTML for those pages is really in them.
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