Like other web browsers Opera periodically releases updates which adds features and fixes bugs in the browser, however users are usually alerted about the upgrade after quite sometime.

If you want to keep Opera updated you can also check for upgrades and apply them manually, to do that, go to Help –> Check for Updates.

If there is a new version of Opera available you will be shown an alert and a option to upgrade the browser.

If you see an alert to upgrade, clicking on the Yes button will take you to the download page, unfortunately Opera 9 does not a option to auto-upgrade, however Opera 10 does have that feature built in.