Welcome to BB Forums. I'll try to answer some of these questions and see how far we get...
Your phone will NOT relock after installing software.
To get rid of the "No additional applications" message, you must install the Handheld Operating System, in addition to the Desktop Manager software, onto your PC. Then you will be able to install Opera Mini onto the BlackBerry.
Check out
Main Page - BlackBerryFAQ for information on how to download and install the Handheld Operating System.
Here's the rough part - you will need to get the GPRS APN information from your carrier to TRY and get the BlackBerry to work over GPRS for the Internet. I don't have that information...