Quick clarification first, Outlook Express is an email program not a web browser. I take it you mean Internet Explorer? Was this installed by Wannadoo?
A proxy server is used by some ISPs to improve efficiency and make pages available more quickly and sometimes to filter content. Your browser has to be directed to it in order to make a connection. If you look in Internet Explorer under "tools -> Internet Options" from the window that opens pick the "Connections" tab. Pick your Wannadoo account and click "settings". There you might find a web address listed under Proxy. This is the location of the proxy server. If you cut and paste this into the similar place in Opera (sorry but haven't used Opera in ages so don't know where, try the help file) it should work.
Hope this helps,