You just get the file and install. This includes the e-mail and newsreader clients as well.
Opera says it is the fastest browser in the world, a hard claim to substantiate.
You do feel that it is going just a little faster on loading pages, especially if you're used to IE or Netscape on a dial-up connection or slower machine. Starting up Opera is quick. In informal tests on a PIII 450 machine, Opera opened to a blank screen in under 5 seconds. IE 5.5 took about 6.5 seconds, and Netscape 6.0 took 14.5 seconds. Our tests for page loading with ZDNet as our home page showed Opera fastest on the first load of a page, but IE, due to superior caching, matched it on subsequent loads.