requests can handle cookies, as you can see here. It's a great library, far more powerful that urllib2, and yet simpler-looking.
>>> import requests
>>> r = requests.get('https://applicant.keybank.com/psp/hrsappl/EMPLOYEE/HRMS/c/HRS_HRAM.HRS_CE.GBL?Page=HRS_CE_HM_PRE&Action=A&SiteId=1')
>>> r.cookies
Edit: This answer dos not really address the problem, I read too fast. Sorry about that. As suggested by @J.F.Sebastian, I'm adding a link to a python webkit client, Ghost.py, that could emulate a browser, as you requested.