Why do we want to do this?
Only one thing I can think of (at the moment), you are on a slow connection.

We will be using Kwyshell Midp2Exe to convert the Opera Mini jar file to Win32 executable file.

Steps:
[*] Download Midp2Exe from Kwyshell. Download link can be seen on top of the page.

[*] Download runtime library from the same page, link is next the Midp2Exe download link.

[*] Extract the Midp2Exe and runtime library packages, let say to C:/Midp2Exe

[*] Download Opera Mini from Opera Mini download page. Scroll down until you see “version for a generic device” link, click that link. On the next page choose “Basic MIDP 1”. Wait until the next page loaded. Choose your language. There will be 2 links with the following name below the language dropdown “opera-mini-latest-basic-en-us.jar” & “opera-mini-latest-basic-en-us.jad”, download them both. Once downloaded, save/move the downloaded files to C:/Midp2Exe

[*] Go to Windows command prompt, Start Menu >> Run >> type “cmd”, without quotes.
OR
Win + R
cmd
[*] Change working directory to Midp2Exe:
cd C:/Midp2Exe
[*] Convert Opera Mini to Win32 executable file, type:
Midp2Exe.exe -jar C:\Midp2Exe\opera-mini-latest-basic-en-us.jar
You’ll see something like these:
C:\Midp2Exe>Midp2Exe.exe -jar C:\Midp2Exe\opera-mini-latest-basic-en-us.jar
Midp2Exe Compiling......
Midp2Exe Writes File C:\Midp2Exe\opera-mini-latest-basic-en-us.exe.
Successfully
[*] Done, execute the opera-mini-latest-basic-en-us.exe to use it.

Good luck!