How to set an HTTP proxy in Python 2.7?

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I am trying to run a script that installs pip: get-pip.py and am getting a connection timeout due to my network being behind an HTTP proxy. Is there some way I could configure an HTTP proxy in my Python 2.7 installation to be able to install what I am trying to install?

Note: I am using Windows. Below is the error I am getting:

C:\SetupFiles>python get-pip.py
Downloading/unpacking pip
  Cannot fetch index base URL http://pypi.python.org/simple/
  Could not find any downloads that satisfy the requirement pip
No distributions at all found for pip
python
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