I have also w800i. But after installing from opera mini site and I don't experience any problems. There a patch (vkp) for removing the java secuirty. You may install that and you will not be bothered with security qeries any more. There is a thread in this forum regarding this.
The new opera mini 4.1 has downloading built into it (at least thats the case with the one installed on my w800i). So what happens that whenever i want to download small multiple files each time i need to go through various permission checks before the file starts downloading.