How to download a file from an HTTP server given the URL?

[J. W. McCall]

Hopefully a simple question: how do I download a file (jpg image) to my 
hard drive from a website assuming I have its (the image's) URL?  I 
tried urllib.urlretrieve() and it's not working.  I'm relatively new to 
Python, so I'm probably make a dumb mistake or looking in the wrong place.

Any help would be appreciated.

Thanks,

J. W. McCall