Hey finally!
I'm one of those people fated with windows, so I'll verify that directory.
Also people should right click the download link and choose "Save Linked Content As" or something similar, as simply clicking it seems to open the style sheet, and that would scare most people 
EDIT: Yep the directory is correct! They aren't hidden or anything, and you might need admin permission to move the file there, I know I did.
You need to close and re-open Opera if you had it running when you moved the CSS file. Annoyingly.