import urllib2
class DumbProxyPasswordMgr:
        def __init__(self):
                self.user = self.passwd = None
        def add_password(self, realm, uri, user, passwd):
                self.user = user
                self.passwd = passwd
        def find_user_password(self, realm, authuri):
                return self.user, self.passwd
def build_opener(self,cookieFile,proxy_addres=None,proxy_user=None,proxy_pass=None):
        
                cj = cookielib.LWPCookieJar()        
                if os.path.isfile(cookieFile):
                        cj.load(cookieFile)
                cookie_handler=urllib2.HTTPCookieProcessor(cj)   
                if proxy_addres!=None:
                        proxy= urllib2.ProxyHandler({"http" : "http://"+proxy_addres})
                        proxy_auth_handler = urllib2.ProxyBasicAuthHandler(DumbProxyPasswordMgr ())
                        proxy_auth_handler.add_password(None, None, proxy_user, proxy_pass)
                        opener = urllib2.build_opener(proxy,proxy_auth_handler,cookie_handler)
                else:
                        proxy= urllib2.ProxyHandler()
                        opener = urllib2.build_opener(cookie_handler,proxy)
                return opener,cj
build_opener(...)[0].open('HTTPS site')
build_opener[1].save(cookieFile)