Proxy + cookie: urllib2? httplib2? Other?

[Gilles Ganault]

Hello

I need a library that supports both going out through a proxy, and
handling cookies automagically (the server uses a sessionID to keep
track of the user).

UrlLib2 supports the proxy part, httplib2 supports the cookie part
but... Google didn't return code that shows both uses in the same
library. Does someone know if either of those, or yet some other
library would support both features?

Thank you.