It looks like someone has developed Portable Opera 9 for those people who want to test out the latest version of Opera but aren’t sure if it is worth installing. I believe that it is worth installing it but this also lets people carry it around on a USB drive or on a CD.
Yes, you can put it on a CD because there is a one-time use version that does not need to save/write anything. Most people would want to choose the Personal version because it will save their settings, history, and other personal things. While using the Personal version it will store the settings and information on the computer but upon closing Opera it will pack everything into a single file and put it on the writable device. It erases the settings and information from the host machine and then overwrites the data in the location so that there is no trace of your information.
Now you can carry Opera around in your pocket or just use this to see if you like it. If you decide that you want to use it on a more permanent basis then you can download the installer from Opera.