Just navigate to the original executable of the program to which you want to create short cut in the start menu.
Just drag the file and move over the start menu. You will be able to see that the start menu opens up. Then go to the place where you want the short cut to be and then drop it in the required place.
Remember that you should not release the left mouse button until you drop it in the required place.
In case of opera, go to the installation directory of opera and select opera.exe. Then drag this file to the start menu to find the start menu expanding. Now in the start menu go to the place where you want the short cut and then just drop it.