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urllib2 cannot handle https with proxy requiring authorization.
After https_proxy is set correctly,
Python 2.6.4 (r264:75706, Oct 29 2009, 15:38:25)
[GCC 4.4.1] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import urllib2
>>> c=urllib2.urlopen("https://sourceforge.net")
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
 File "/usr/lib/python2.6/urllib2.py", line 124, in urlopen
 return _opener.open(url, data, timeout)
 File "/usr/lib/python2.6/urllib2.py", line 389, in open
 response = self._open(req, data)
 File "/usr/lib/python2.6/urllib2.py", line 407, in _open
 '_open', req)
 File "/usr/lib/python2.6/urllib2.py", line 367, in _call_chain
 result = func(*args)
 File "/usr/lib/python2.6/urllib2.py", line 1154, in https_open
 return self.do_open(httplib.HTTPSConnection, req)
 File "/usr/lib/python2.6/urllib2.py", line 1121, in do_open
 raise URLError(err)
urllib2.URLError: <urlopen error Tunnel connection failed: 407 Proxy
Authentication Required>
This is because HTTPConnection::_tunnel() in httplib.py doesn't send
Proxy-Authorization header.