This makes it easier to handle common exceptions. I was motivated
because the Mesa URL is currently broken and wasn't handled well.

Implementation mostly copied from here:
  http://stackoverflow.com/questions/22676/how-do-i-download-a-file-over-http-using-python

Old UTF-8 resulted in this error from GNU Emacs:
  Warning (mule): Invalid coding system `UTF-8' is specified
  for the current buffer/file by the :coding tag.
  It is highly recommended to fix it before writing to a file.

We're not doing a sufficient job of keeping this updated so list
it as an external requirement instead.