This has never worked on Windows.  Now it does.  If it breaks on Unix now,
great, it's your turn to watch it fail for months <0.9 wink>.
diff --git a/Lib/test/test_urllib2.py b/Lib/test/test_urllib2.py
index 263c0d1..80356f8 100644
--- a/Lib/test/test_urllib2.py
+++ b/Lib/test/test_urllib2.py
@@ -1,5 +1,6 @@
 from test_support import verify
 import urllib2
+import os
 
 # A couple trivial tests
 
@@ -10,7 +11,12 @@
 else:
     verify(0)
 
-file_url = "file://%s" % urllib2.__file__
+# XXX Name hacking to get this to work on Windows.
+fname = os.path.abspath(urllib2.__file__).replace('\\', '/')
+if fname[1:2] == ":":
+    fname = fname[2:]
+file_url = "file://%s" % fname
 f = urllib2.urlopen(file_url)
+
 buf = f.read()
 f.close()