Use urllib2 and create a Request object which you then hand to urlopen. http://docs.python.org/library/urllib2.html
I dont really use the "old" urllib anymore.
req = urllib2.Request("http://google.com", None, {'User-agent' : 'Mozilla/5.0 (Windows; U; Windows NT 5.1; de; rv:1.9.1.5) Gecko/20091102 Firefox/3.5.5'})
response = urllib2.urlopen(req).read()
untested....