Making a persistent HTTP connection

[David Rasmussen]

I use urllib2 to do some simple HTTP communication with a web server. In 
one "session", I do maybe 10-15 requests. It seems that urllib2 opens op 
a connection every time I do a request. Can I somehow make it use _one_ 
persistent connection where I can do multiple GET->"receive data" passes 
before the connection is closed?

/David