This problem is a duplicate of Issue16484.

The URL is generated by pydoc's getdocloc() when you use pydoc explicitly or through the interactive interpreter's help command.  But the doc web server is not set up to handle links for modules with mixed-case names, like UserDict; http://docs.python.org/2/library/userdict works.  Sean, you can add yourself to Issue16484 if you'd like to help.