You can do that with Chrome, Firefox and Safari as well - check out my project tmpbrowser, which is a simple app that creates temporary throwaway browser sessions:
I use it at work because it ignores the system policy against downloading exe files. I hate trying to download an installer and having Chrome tell me (after the fact) that the system blocked the file. Opera doesn't care and saves the file just fine.
https://github.com/nikcub/tmpbrowser