diff -r 66d0f6ef2a7f Doc/library/http.client.rst
--- a/Doc/library/http.client.rst	Thu Feb 28 18:03:16 2013 +0200
+++ b/Doc/library/http.client.rst	Sat Mar 02 22:30:14 2013 -0500
@@ -457,6 +457,15 @@
    The headers argument should be a mapping of extra HTTP headers to send
    with the CONNECT request.
 
+   For example, if we set up a HTTPS proxy server locally on port 8080. We first
+   set the tunnel host in `HTTPSConnection` and then the host we want to reach
+   into set_tunnel`::
+
+      >>> import http.client
+      >>> conn = http.client.HTTPSConnection("localhost",8080)
+      >>> conn.set_tunnel("www.python.org")
+      >>> conn.request("HEAD","/index.html")
+
    .. versionadded:: 3.2