I have managed to get my first python script to work which downloads a list of .ZIP files from a URL and then proceeds to extract the ZIP files and writes them to disk.
Adding on to the other answers using requests:
# download from web
import requests
url = 'http://mlg.ucd.ie/files/datasets/bbc.zip'
content = requests.get(url)
# unzip the content
from io import BytesIO
from zipfile import ZipFile
f = ZipFile(BytesIO(content.content))
print(f.namelist())
# outputs ['bbc.classes', 'bbc.docs', 'bbc.mtx', 'bbc.terms']
Use help(f) to get more functions details for e.g. extractall() which extracts the contents in zip file which later can be used with with open.