Handling proxy for urllib2

build_opener returns a OpenerDirector, which is not 1) callable, 2) does not install it in urlopen, and 3), urlopen is still the way to access resource.

From the docs:
```
proxy_support = urllib2.ProxyHandler({"http" : "http://ahad-haam:3128"})

# build a new opener that adds authentication and caching FTP handlers
opener = urllib2.build_opener(proxy_support, authinfo, urllib2.CacheFTPHandler)

# install it
urllib2.install_opener(opener)

f = urllib2.urlopen('http://www.python.org/')
```