Update urllib2.rst: Error messages to stderr

[hginzel]

Error messages should go to stderr.

[tirkarthi]

Correct me if I am wrong there are no conventions in the docs where error message and exceptions are logged to stderr. Also the changes should be for master and they will be backported to 3.7 once merged.

[hginzel]

Correct me if I am wrong there are no conventions in the docs where error message and exceptions are logged to stderr.

I am sorry, I don't know. But if they aren't they should be. Writing error/warning messages to stderr is a good (not only unix) behaviour. And the docs teaches the users.

[ned-deily]

Thanks for your PR. I think this is not an unreasonable change. There appear to be other places in the docs where exceptions are written to stderr but we are probably not consistent about it. But as @tirkarthi points out, you should submit the PR against the master branch and, if a core developer chooses to merge it, they will take care of backports. If you haven't already seen it, the Python Developer's Guide explains PR flow in more detail.