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I think expanding the docs is the go here.

In looking at the 2.2 docs (11.4 urllib), the bits that I think could usefully be improved include:-
- the paragraph describing the proxy environment variables should note that on Windows,
  browser (at least for InternetExplorer - I don't know about Netscape) registry settings for proxies
  will be used when available;
- a short para noting that proxies can be overridden using URLopener/FancyURLopener 
  class instances, documented further down the page, placed just before the note about 
  not supporting authenticating proxies;
- adding a description of the "proxies" parameter to the URLopener class definition;
- adding an example of bypassing proxies to the examples subsection (11.4.2).

If/when you upload a doc patch, I suggest that you assign it to Fred Drake, who is the 
chief docs person.