How to download a file over HTTP?

I have a small utility that I use to download an MP3 file from a website on a schedule and then builds/updates a podcast XML file which I've added to iTunes.

The text processing that creates/updates the XML file is written in Python. However, I use wget inside a Windows .bat file to download the actual MP3 file. I would prefer to have the entire utility written in Python.

I struggled to find a way to actually download the file in Python, thus why I resorted to using wget.

So, how do I download the file using Python?

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