Private Browsing mode in Opera is useful when you don't want to keep history of visited websites, cookies, forms filled, etc. That's the only case when it should be used. Other than that, simply browse normally using the default way available in Opera. Yes, it's working, but it won't hide you completely because the ISP will still have the possibility of seeing what websites you've visited.
To open a Private Browsing Session, go to Tabs and Windows > New Private Tab.
For additional information, use the official help: http://help.opera.com/Windows/12.10/en/private.html