Tims answer seems to me as misleading. Especially when urllib2 does not return expected code. For example this Error will be fatal (believe or not - it is not uncommon one when downloading urls):
AttributeError: 'URLError' object has no attribute 'code'
Fast, but maybe not the best solution would be code using nested try/except block:
import urllib2
try:
urllib2.urlopen("some url")
except urllib2.HTTPError, err:
try:
if err.code == 404:
# Handle the error
else:
raise
except:
...
More information to the topic of nested try/except blocks Are nested try/except blocks in python a good programming practice?