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Tried it with 2.5 beta 1 and it is not better :(

c:\tools\pyscripts\scripts>c:\python25\python2.5
Python 2.5b1 (r25b1:47027, Jun 20 2006, 09:31:33) [MSC 
v.1310 32 bit (Intel)] on win32


c:\tools\pyscripts\scripts>c:\python25\python2.5 
proxy_bug.py
trying http://www.python.org ...
Traceback (most recent call last):
  File "proxy_bug.py", line 37, in <module>
    get_page()
  File "proxy_bug.py", line 27, in get_page
    f = urllib2.urlopen(request)
  File "c:\python25\lib\urllib2.py", line 121, in urlopen
    return _opener.open(url, data)
  File "c:\python25\lib\urllib2.py", line 380, in open
    response = meth(req, response)
  File "c:\python25\lib\urllib2.py", line 491, in 
http_response
    'http', request, response, code, msg, hdrs)
  File "c:\python25\lib\urllib2.py", line 412, in error
    result = self._call_chain(*args)
  File "c:\python25\lib\urllib2.py", line 353, in 
_call_chain
    result = func(*args)
  File "c:\python25\lib\urllib2.py", line 831, in 
http_error_407
    authority, req, headers)
  File "c:\python25\lib\urllib2.py", line 795, in 
http_error_auth_reqed
    return self.retry_http_basic_auth(host, req, realm)
  File "c:\python25\lib\urllib2.py", line 805, in 
retry_http_basic_auth
    return self.parent.open(req)
  File "c:\python25\lib\urllib2.py", line 380, in open
    response = meth(req, response)
  File "c:\python25\lib\urllib2.py", line 491, in 
http_response
    'http', request, response, code, msg, hdrs)
  File "c:\python25\lib\urllib2.py", line 418, in error
    return self._call_chain(*args)
  File "c:\python25\lib\urllib2.py", line 353, in 
_call_chain
    result = func(*args)
  File "c:\python25\lib\urllib2.py", line 499, in 
http_error_default
    raise HTTPError(req.get_full_url(), code, msg, hdrs, fp)
urllib2.HTTPError: HTTP Error 407: Proxy Authentication 
Required