URLLIB and PROXY

[A]

Hi,
Is there anybody who has ever used 
URLLIB together with PROXY successfully?
I tried 

import os,urllib
os.environ["http_proxy"]='http://209.242.141.249:8080'
RUR=urllib.urlretrieve('http://www.seznam.cz/index.html','Saved.htm'
)

but I do not think  it does  work.
I will get the page but it does not go through proxy.

Thank you for help
Ladislav