The start portion of the dialog contains 3 radio selection boxes. This option will start Opera with your default window set. This allows you to setup multiple startup windows. The window history, but not the window homepage will be remembered when you save your windows. This gives you the option to have a global home page and a homepage for each window - pretty cool if you have the right application for it.
Opera simply starts up with one window to the global homepage.
Uncheck it after you've seen it once. It gets annoying. Depending on how you have setup your start up options set, this may or may not be what you want. It has some interesting applications. This is the file address of the windows storage file.