headers = { 'User-Agent' : 'Mozilla/5.0' }
req = urllib2.Request('www.example.com', None, headers)
html = urllib2.urlopen(req).read()
Or, a bit shorter:
req = urllib2.Request('www.example.com', headers={ 'User-Agent': 'Mozilla/5.0' })
html = urllib2.urlopen(req).read()