Downloading Large Files -- Feedback?

[mwt]

This code works fine to download files from the web and write them to
the local drive:

import urllib
f =  urllib.urlopen("http://www.python.org/blah/blah.zip")
g = f.read()
file = open("blah.zip", "wb")
file.write(g)
file.close()

The process is pretty opaque, however. This downloads and writes the
file with no feedback whatsoever. You don't see how many bytes you've
downloaded already, etc. Especially the "g = f.read()" step just sits
there while downloading a large file, presenting a pregnant, blinking
cursor.

So my question is, what is a good way to go about coding this kind of
basic feedback? Also, since my testing has only *worked* with this
code, I'm curious if it will throw a visibile error if something goes
wrong with the download.

Thanks for any pointers. I'm busily Googling away.