Zone Alarm Pro 5.1.033.000 has an issue where it causes Opera do give
download dialog, asking if you want to download "blank.cgi" from
127.0.0.1. This is a Zone Alarm issue, and this is how you resolve it:

(IMPORTANT NOTICE: You'll have to reconfigure Zone Alarm Pro after doing this!)

1. In Zone Alarm Pro, go to "Overview" > "Preferences".
2. Under "General", uncheck "Load Zone Alarm Pro at startup". A security
   checks comes up. click [Yes].
3. Restart Windows.
4. Go to your Windows directory (i.e. C:\Windows or C:\WINNT).
5. Delete the folder "Internet Logs".
   If this is not possible, it is necessary to repeat this step in safe mode.
   Symantec has an excellent article on how to boot into safe mode here:
   http://service1.symantec.com/SUPPORT/tsgeninfo.nsf/docid/2001052409420406
6. Open Zone Alarm Pro and repeat step 1.
7. Under "General", re-check "Load Zone Alarm Pro at startup".
8. Restart Windows.

When these steps are taken, the download dialog should not reappear.