You can enable the Firewall (Options => Security Options => Firewall). However, I encountered other problems when I did this, so I disabled it and just live with having to answer the Opera Mini prompt each time. It's a bit annoying but no big deal.
I have the firewall enabled and I don't have any problems with it.... I am still prompted when I launch Opera though. I agree that prompt is annoying and would love to get it to go away!