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This is not correct, these exceptions are documented.

(from http://docs.python.org/lib/module-urllib2.html)

The following exceptions are raised as appropriate:

exception URLError
    The handlers raise this exception (or derived
exceptions) when they run into a problem. It is a subclass
of IOError. 

exception HTTPError
    A subclass of URLError, it can also function as a
non-exceptional file-like return value (the same thing that
urlopen() returns). This is useful when handling exotic HTTP
errors, such as requests for authentication. 

exception GopherError
    A subclass of URLError, this is the error raised by the
Gopher handler.