Verifique o código de status urllib
import urllib2
req = urllib2.Request('http://www.python.org/fish.html')
try:
resp = urllib2.urlopen(req)
except urllib2.HTTPError as e:
if e.code == 404:
# do something...
else:
# ...
except urllib2.URLError as e:
# Not an HTTP-specific error (e.g. connection refused)
# ...
else:
# 200
body = resp.read()
Jolly Jackal