You don't want urllib.urlretrieve. This takes a file-like object. Instead, you want urllib.urlopen:
>>> help(urllib.urlopen)
urlopen(url, data=None, proxies=None)
Create a file-like object for the specified URL to read from.
Additionally, if you want to download and save a document, you'll need a more robust geturl function:
def geturl(Address, FileName):
html_data = urllib.urlopen(Address).read() # Open the URL
with open(FileName, 'wb') as f: # Open the file
f.write(html_data) # Write data from URL to file
geturl(u'http://roblox.com') # URL's must contain the full URI, including http://