I downloaded the Opera 9 tar.gz file. You can see what is actually in the file by opening a terminal window and entering the tar command to list a compressed file.
$ tar tzf opera-9.10-20061214.6-shared-qt.i386-en.tar.gz
When we look in the file we see that it wants to put all of its files in one directory that is named opera-9.10-20061214.6-shared-qt.i386-en-521. We can see that some of the files in the directory include a file named install.sh but we can also see that it looks like all of the files that we need to run Opera right out of that directory already exist in the correct place.
So I tried to just expand the tar.gz file and see if I could run the opera binary straight out of that location. I got an error saying that the binary named opera was not located in the /bin directory. So I created a link in the /bin directory pointing to the opera binary and that worked.
However I think that they want people to run the install.sh script. I read it. It's nice. So this is what I recommend that you do.
Download the tar.gz file. For my examples I will say that you have downloaded the file to /tmp.
Log on as root.
Change your current working directory to /tmp.
Use tar to expand the tar.gz file.
tar xzvpf opera-9.10-20061214.6-shared-qt.i386-en.tar.gz
This will create a directory called /tmp/opera-9.10-20061214.6-shared-qt.i386-en-521.
Change your current working directory to the new directory.
Run the install.sh program.
Hopefully that will install Opera 9. When you have finished installing Opera you should delete all of the files that you created in the /tmp directory.
One interesting thing will result from this. Since PCLinuxOS already has a version of Opera installed you might end up with both versions of Opera. I don't know if the install.sh file will find the old version of Opera and upgrade it or not. If the install.sh file does not upgrade Opera but installs the new version along side the old version then when you use the Start button to start Opera it will probably start the old version.
Let me know if you have trouble with this.
Note that I just tried running Opera. It seems to be okay but it does not appear to have Flash available.