After decrypting the html source of the linked web page , it would seem to work - at least as far as I understood:
import urllib, urllib2
import csv
from StringIO import StringIO
import pandas as pd
import os
from zipfile import ZipFile
from pprint import pprint, pformat
my_url = 'http://www.bankofcanada.ca/stats/results/csv'
data = urllib.urlencode({"lookupPage": "lookup_yield_curve.php",
"startRange": "1986-01-01",
"searchRange": "all"})
request = urllib2.Request(my_url, data)
result = urllib2.urlopen(request)
zipdata = result.read()
zipfile = ZipFile(StringIO(zipdata))
print 'zipfile.namelist(): {}'.format(zipfile.namelist())
Conclusion:
zipfile.namelist(): ['yield_curves.csv']