urllib2 cannot handle https with proxy requiring authorization.

After https_proxy is set correctly,

Python 2.6.4 (r264:75706, Oct 29 2009, 15:38:25)
[GCC 4.4.1] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import urllib2
>>> c=urllib2.urlopen("https://sourceforge.net")
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "/usr/lib/python2.6/urllib2.py", line 124, in urlopen
    return _opener.open(url, data, timeout)
  File "/usr/lib/python2.6/urllib2.py", line 389, in open
    response = self._open(req, data)
  File "/usr/lib/python2.6/urllib2.py", line 407, in _open
    '_open', req)
  File "/usr/lib/python2.6/urllib2.py", line 367, in _call_chain
    result = func(*args)
  File "/usr/lib/python2.6/urllib2.py", line 1154, in https_open
    return self.do_open(httplib.HTTPSConnection, req)
  File "/usr/lib/python2.6/urllib2.py", line 1121, in do_open
    raise URLError(err)
urllib2.URLError: <urlopen error Tunnel connection failed: 407 Proxy
Authentication Required>

This is because HTTPConnection::_tunnel() in httplib.py doesn't send
Proxy-Authorization header.