In python3 you can use urllib and shutil libraires. Download them by using pip or pip3 (Depending whether python3 is default or not)

pip3 install urllib shutil

Then run this code

import urllib.request
import shutil

url = "http://www.somewebsite.com/something.pdf"
output_file = "save_this_name.pdf"
with urllib.request.urlopen(url) as response, open(output_file, 'wb') as out_file:
    shutil.copyfileobj(response, out_file)

In python3 you can use urllib3 and shutil libraires. Download them by using pip or pip3 (Depending whether python3 is default or not)

pip3 install urllib3 shutil

Then run this code

import urllib.request
import shutil

url = "http://www.somewebsite.com/something.pdf"
output_file = "save_this_name.pdf"
with urllib.request.urlopen(url) as response, open(output_file, 'wb') as out_file:
    shutil.copyfileobj(response, out_file)

Note that you download urllib3 but use urllib in code