I agree with Corey, urllib2 is more complete than urllib and should likely be the module used if you want to do more complex things, but to make the answers more complete, urllib is a simpler module if you want just the basics:
import urllib
response = urllib.urlopen('http://www.example.com/sound.mp3')
mp3 = response.read()
Will work fine. Or, if you don't want to deal with the "response" object you can call read() directly:
import urllib
mp3 = urllib.urlopen('http://www.example.com/sound.mp3').read()