A Python 2+3 compatible solution is:
import sys
if sys.version_info[0] >= 3:
from urllib.request import urlretrieve
else:
# Not Python 3 - today, it is most likely to be Python 2
# But note that this might need an update when Python 4
# might be around one day
from urllib import urlretrieve
# Get file from URL like this:
urlretrieve("http://www-scf.usc.edu/~chiso/oldspice/m-b1-hello.mp3")