If this is cookie based authentication use HTTPCookieProcessor:
import cookielib, urllib2
cj = cookielib.CookieJar()
opener = urllib2.build_opener(urllib2.HTTPCookieProcessor(cj))
r = opener.open("http://example.com/")
If this is HTTP authentication use basic or digest AuthHandler:
import urllib2
# Create an OpenerDirector with support for Basic HTTP Authentication...
auth_handler = urllib2.HTTPBasicAuthHandler()
auth_handler.add_password(realm='PDQ Application',
uri='https://mahler:8092/site-updates.py',
user='klem',
passwd='kadidd!ehopper')
opener = urllib2.build_opener(auth_handler)
# ...and install it globally so it can be used with urlopen.
urllib2.install_opener(opener)
urllib2.urlopen('http://www.example.com/login.html')
... and use same opener for every request.