O fórum do Opera Windows tem a seguinte resposta, graças aos usuários leocg e defcormax:
Open a command prompt (I do it by opening the Run window and typing "cmd", without the quotes);
In the command prompt change directory to the Opera application folder (on my x64 computer this is C:\Program Files (x86)\Opera);
Then, in the command prompt type "launcher --presto-small-prefs-dir={ROAMING_PROFILE_DIR}", without the quotes, replacing {ROAMING_PROFILE_DIR} with the folder that contains your Opera 12 profile (ie the folder that contains your Opera 12 bookmarks.adr). For me that folder was C:\Users{MY USER NAME}\AppData\Roaming\Opera\Opera.
This will launch Opera 20, replacing the profile with the converted Opera 12 one.