We search for lepton flavour violating events (e mu, e tau and mu tau) that could be directly produced in e+e- annihilations, using the full available data sample collected with the OPAL detector at centre-of-mass energies between 189 GeV and 209 GeV. In general, the Standard Model expectations describe the data well for all the channels and at each sqrt(s). A single e mu event is observed where according to our Monte Carlo simulations only 0.019 events are expected from Standard Model processes. We obtain the first limits on the cross-sections sigma(e+e- -> e mu, e tau and mu tau) as a function of sqrt(s) at LEP2 energies.