The trick is to create a password manager, and then tell urllib about it. Usually, you won't care about the realm of the authentication, just the host/url part. For example, the following:
password_mgr = urllib2.HTTPPasswordMgrWithDefaultRealm()
top_level_url = "http://example.com/"
password_mgr.add_password(None, top_level_url, 'user', 'password')
handler = urllib2.HTTPBasicAuthHandler(password_mgr)
opener = urllib2.build_opener(urllib2.HTTPHandler, handler)
request = urllib2.Request(url)
Will set the user name and password to every URL starting with top_level_url
. Other options are to specify a host name or more complete URL here.
A good document describing this and more is at http://www.voidspace.org.uk/python/articles/urllib2.shtml#id6.