Question about using "with"

[Steven W. Orr]

>From the tutorial, they said that the following construct will 
automatically close a previously open file descriptor:

-------------------
#! /usr/bin/python
import sys

for nn in range ( 1, len(sys.argv ) ):
     print "arg ", nn, "value = ", sys.argv[nn]
     with open(sys.argv[nn]) as f:
         for line in f:
             print line,
------------------

but when I run it (with args) I get:

591 > ./cat.py cat.py
   File "./cat.py", line 6
     with open(sys.argv[nn]) as f:
             ^
SyntaxError: invalid syntax
592 >

This example came from http://docs.python.org/tut/node10.html down in 
section 8.7

Am I missing something?

TIA

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