The following shows an example:
import urllib2
# create credential for authentication
user_agent = 'Mozilla/4.0 (compatible; MSIE 7.0; Windows NT 5.1; Trident/4.0; FDM; .NET CLR 2.0.50727; InfoPath.2; .NET CLR 1.1.4322)'
key= 'YOUR ACCOUNT KEY'
creds = (':%s' % key).encode('base64')[:-1]
auth = 'Basic %s' % creds
request = urllib2.Request('https://api.datamarket.azure.com/Data.ashx/Bing/Search/Web?Query=%27test%27&$top=5&$format=json')
request.add_header('Authorization', auth)
request.add_header('User-Agent', user_agent)
requestor = urllib2.build_opener()
result = requestor.open(request)
print result.read()
Here, 'key' is your Account key in Windows Azure. You can find it here. You can replace the url used in urllib2.Request() to search what you want.