There are a couple of mistakes in your code.
- You got the syntax of for wrong. When you call the for loop, you need to pass it a an object that it can iterate on. This can be a list or a generator
- adding a number to a string won't work. You need to convert with for example repr
With those fixes your code look like
import urllib2
i = 1
limit = 1441
for i in xrange(1,limit+1):
url = 'http://pmindia.gov.in/content_print.php?nodeid='+repr(i)+'&nodetype=2'
response = urllib2.urlopen(url)
webContent = response.read()
f = open('speech'+repr(i)+'.html', 'w')
f.write(webContent)
f.close
Now, if you want to go into web scraping for real, I suggest you have a look at some packages such as lxml and requests