You need a few more steps:
import urllib2
import cookielib
cp = urllib2.HTTPCookieProcessor()
cj = cp.cookiejar
cj.set_cookie(cookielib.Cookie(0, 'a_cookie', 'a_value',
'80', False, 'domain', True, False, '/path',
True, False, None, False, None, None, None))
opener = urllib2.build_opener(urllib2.HTTPHandler(),
cp)
opener.addheaders.append(('User-agent', 'Mozilla/5.0 (compatible)'))
opener.open('http://website.com').read()
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