Make Pylint happy about the tests too
Add comments about nested with statements

Nested with statements are kept for compatibility with python 2.6 that
does not support multiple variable in a single statement. A comment have
been added before each nested with statement about that.

This statements will need to be changed when compatibility with python
2.6 will be dropped.
A file was not closed properly

When a file descriptor is used anonymously--i.e. it is not assigned to a
variable with a name--one can expect the file to be closed by the
garbage collector. This behavior seems to be a misconception of mine;
python 3.3 display a warning saying that the file is not closed
properly.

In this commit I add a with statement instead of an anonymous open so
the file is closed as it should be.