Access a URL (w/ cookies) using sockets?

I'm trying to write开发者_开发百科 a program that uses sockets to connect to a website and save data from it. The issue I have is that I can't figure out how to connect to something besides index.php. Like, say I want to connect to page1.php instead of index.php. Can anyone help me with that?

Also, is there a way to get all the data at once, rather than in chunks? Or do I just have to loop until I'm done?

Thanks in advance for your help.

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You need to be using the urllib2 and cookielib modules. Here's an example from the Python Cookbook (see more).