title: Saving a file on desktop from a given url with a proxy server
body: <p>My problem is that I want to save a file given by an url.
  say the url is something like '<a href="http://www.somesitename.com/Something/filename.fileextension" rel="nofollow noreferrer">http://www.somesitename.com/Something/filename.fileextension</a>"
  for example 
  some_url  = '<a href="http://www.fordantitrust.com/files/python.pdf" rel="nofollow noreferrer">http://www.fordantitrust.com/files/python.pdf</a>'
  filename = myfile.pdf</p>
  
  <p>I want to download this file.
  I know I can do it easily with urllib.urlretrieve(some_url,filename) as soon as you dont't have any proxy in between your system and the requested url.</p>
  
  <p>I am having a proxy so each time I want to download this file I have to pass that proxy.
  I don't know how to do this.</p>
  
  <p>Any help is appreciated.</p>