Urllib and validation of server certificate

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I use python 2.6 and request Facebook API (https). I guess my service could be target of Man In The Middle attacks. I discovered this morning reading again urllib module documentation that : Citation:

Warning : When opening HTTPS URLs, it is not attempted to validate the server certificate. Use at your own risk!

Do you have hints / url / examples to complete a full certificate validation ?

Thanks for your help

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