Something like the following may work:
# at module level (not inside class or function)
finish = False
def signal_handler(signal, frame):
global finish
finish = True
signal.signal(signal.SIGINT, signal_handler)
# wherever you have your file downloading code (same module)
for file_ in files_to_download:
if finish:
break
urllib.urlretrieve("".join(baseurl, file_), os.path.join(".", file_))