Never mind.  It turns out the timeout value only works if it's supported by urllib2.  They didn't add that support until Python 2.6 and I'm running on Python 2.4.

I found something that said that on Python 2.4 you could set the socket default timeout like this;

import socket

socket.setdefaulttimeout(value)

I tried that but it didn't work either. Sigh….