Here is an example that works:
import urllib2
def main():
download_file("http://mensenhandel.nl/files/pdftest2.pdf")
def download_file(download_url):
response = urllib2.urlopen(download_url)
file = open("document.pdf", 'wb')
file.write(response.read())
file.close()
print("Completed")
if __name__ == "__main__":
main()