As you're using Python 3, there is no urllib module anymore. It has been split into several modules.
This would be equivalent to urlretrieve:
import urllib.request
data = urllib.request.urlretrieve("http://...")
urlretrieve behaves exactly the same way as it did in Python 2.x, so it'll work just fine.
Basically:
urlretrieve saves the file to a temporary file and returns a tuple (filename, headers)urlopen returns a Request object whose read method returns a bytestring containing the file contents