If you don't, you'll slow down your surfing as Opera will be testing each url on every load of the page. That can effect simple forward and backward navigation as Opera will now stop to test the url's age. If you are using a secure site and are having difficulties with the site, double check that you have all 3 forms of security enabled. Under Preferences Security, there are three checkboxes. In almost all circumstances, you'll want to have those checked.
Many sites use frames or the newer inline frames for site structure and navigation.
Frames you've run into before and know that you just about have to have them on to surf any length of time at all. You can control these options from Preferences-Documents. The new kid on the block is Inline Frames . They are a method of inserting external content on to the page seamlessly. You've probably seen them before and not even realized they were an inline frame.