+ How can I update to new Version ?
+ How can make a Backup of my data ?

It's easy, you only have to copy the files. Please look at the description / help at my.opera.com/opera-usb

+ Does permanent access damage the USB stick?

To safe livetime of the USB Device and to increase speed of Opera, the cache-directory is on the harddisk (at Windows temp)
the Cache was cleared after normal close of Opera, so there is no data left.

For user of Opera@USB9.21 and older
+ I like to use the Sessions function ?!
The Sessions function was disabled (Continue from last time) so Opera don't always writes the actual state to the stick
To activate the "Continue from last time" / Sessions - function , you have only to delete the sessions file in the operausb\profile\ directory - thats all !

+ Does Opera@USB supports all functions of the "normal" Opera desktop version

Yes, you can use browser, mailclient, IRC-chat, download manager, Bittorrent you can also use notes, contacts and Bookmarks.

+ Supports Opera Java™ ?
 Yes
- Javascript was supported
- Java™- applications uses the SUN Java of the guestcomputer

+ What is with Plugins ?
 some Plugins are included, most of plugin's you can include yourself

+ What if I have to use a Proxyserver ?

Opera detect ProxyServer automatically !

(if not - The simplest away is see whats the settings of IE are - Tools-Preferences-Advance-Network-Proxyservers )