You should be right-clicking the empty folder on the desktop, not in Opus.
(If Opus is already running then the experiment has failed, as the point is to launch Opus so that the only thing it has ever viewed is an empty folder. That way we rule out the possibility of something in another folder being the trigger for the problem. Before right-clicking the folder, ensure Opus has been fully exited and dopus.exe is no longer in the Task Manager process list.)
If you're doing that but the option isn't there, you might need to turn on Preferences / Miscellaneous / Windows Integration / Add 'Open in Directory Opus' item to folder context menus.
(If you have Explorer Replacement enabled then the menu item is always added -- it has to be for Explorer Replacement to work -- and that option will be disabled.)