["python"]
Stopping Python using Ctrl + C

I have a Python script that uses threads and makes lots of HTTP requests. I think, while a HTTP request (using urllib2) is reading, it's blocking and not responding to Ctrl + C to stop the program. Is there a way around this?
On Windows, the only sure way is to use Ctrl + Break. It stops every Python script instantly! (Note that on some keyboards, "Break" is labeled as "Pause".)