Does it? I'd assume it would if something new pops up which wasn't there previously. For example, an ad or a post/reply. I'm using opera at the moment (just downloaded it a couple hours ago) and there's a function where you can choose it to reload a page every 5 seconds/10 seconds etc etc.
I'm not sure what you mean by "downloads" but I figure you mean bandwidth. The answer is, yes. You're "downloading" every image, every text, every flash app to your computer and it does waste bandwidth. Now, with that being said, it is possible to set your browser up so it doesn't download the same image over and over, instead it saves it somewhere and reuses it again so you don't waste bandwidth.
I'm not familiar with Opera, so I couldn't help you there but a quick Google search should do the trick. If all else fails, post on the Opera forums if they have one. Bandwidth is just a number, it really means nothing other than to rip us off even more.
Well with Caching, the browser won't download images/css and other files again.
Everything you see online is actually downloaded, even if it ends up in the temp folder. Don't waste your bandwidth with this refreshing function. How needs to have a page refreshed every 5 seconds? Even worse is the memory hog it causes. Unless you're an investor that needs to stay 9 hours a day with your eyes on the monitor watching the new values, that's pretty useless.