HTTP Keep-Alive with urllib2

[David Rasmussen]

Someone once asked about this an got no answer:

http://groups.google.dk/group/comp.lang.python/browse_frm/thread/c3cc0b8d7e9cbc2/ff11efce3b1776cf?lnk=st&q=python+http+%22keep+alive%22&rnum=84&hl=da#ff11efce3b1776cf

Maybe I am luckier :)

Does anyone know how to do Keep-Alive with urllib2, that is, how to get 
a persistent HTTP connection, instead of a new connection being opened 
for every request?

/David