Weird problem on WIN platform.. any ideas?

[mixoftheweek.com]

Problem description:

I've got a little Python script using urllib's urlretrieve() function
to fetch an image from a web site. The script works without errors
when I run it from the command line.

However, when I schedule SQL Server Agent to run the script, the Agent
reports the following error:

File "C:\scripts\dailygif.py", line 26, in ?     
urlretrieve(gif_url,gif_filename)
File "c:\python20\lib\urllib.py", line 68, in urlretrieve      return
_urlopener.retrieve(url, filename, reporthook, data)
File "c:\python20\lib\urllib.py", line 212, in retrieve      tfp =
open(filename, 'wb')  IOError: [Errno 2] No such file or directory:
'v:\\images\\dailygif\\dailygif.gif'

As I said, I'm unable to repeat this error when I run the same script
from command line. The double slashes in the error-causing file path
are not of my doing (gif_filename =
'v:\images\dailygif\dailygif.gif').

Any help would be greatly appreciated! Thanks.