You don't mention your graphical environment, so I will assume KDE (which is not FC5's default) and tell you how it is done there.
First, you don't have to create an icon for it. You can run it by typing Alt+F2 and typing opera into the run dialog. But that is hardly as convenient as a single click on an icon.
You can create a desktop icon by dragging the opera binary from /usr/bin/opera to the desktop and clicking on "Link here" from the popup menu. It's a shell script and the resulting link will not be customizable to, for instance, change the icon to the Opera icon. It will be you system icon for shell scripts.
You can also manually create an opera.desktop file by right clicking on the desktop, pointing to Create New... and clicking on Link to Application. Then fill in the information about Opera, including the Opera icon.
You can also create a Kmenu entry for Opera by right clicking the Kmenu button and selecting Menu Editor, create an Opera entry where you want it to be, and optionally drag the resulting item from the menu to your desktop to create an additional desktop icon.
Not sure how to do all of this with GNOME.
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