first of all, it's oppan, no oppa. oppan means "oppa is"

oppa means boyfriend/older brother/respected older

gangnam is the name of a floverish high-end business street in south korea

'Oppan Gangnam Style' = 'Oppa is doing it Gangnam Style' = 'I am rocking it in Gangnam's high-end lifestyle' (Oppa, Psy is refering to himself as oppa to the young sexy ladies)