This should help:

import csv
import requests

CSV_URL = 'http://samplecsvs.s3.amazonaws.com/Sacramentorealestatetransactions.csv'


with requests.Session() as s:
    download = s.get(CSV_URL)

    decoded_content = download.content.decode('utf-8')

    cr = csv.reader(decoded_content.splitlines(), delimiter=',')
    my_list = list(cr)
    for row in my_list:
        print(row)

Ouput sample:

['street', 'city', 'zip', 'state', 'beds', 'baths', 'sq__ft', 'type', 'sale_date', 'price', 'latitude', 'longitude']
['3526 HIGH ST', 'SACRAMENTO', '95838', 'CA', '2', '1', '836', 'Residential', 'Wed May 21 00:00:00 EDT 2008', '59222', '38.631913', '-121.434879']
['51 OMAHA CT', 'SACRAMENTO', '95823', 'CA', '3', '1', '1167', 'Residential', 'Wed May 21 00:00:00 EDT 2008', '68212', '38.478902', '-121.431028']
['2796 BRANCH ST', 'SACRAMENTO', '95815', 'CA', '2', '1', '796', 'Residential', 'Wed May 21 00:00:00 EDT 2008', '68880', '38.618305', '-121.443839']
['2805 JANETTE WAY', 'SACRAMENTO', '95815', 'CA', '2', '1', '852', 'Residential', 'Wed May 21 00:00:00 EDT 2008', '69307', '38.616835', '-121.439146']
[...]

Related question with answer: https://stackoverflow.com/a/33079644/295246

Edit: Other answers are useful if you need to download large files (i.e. stream=True).

The file you're trying to download is in UTF-16 format, and the CSV module is not designed for that. You need to decode it from UTF-16 into some other format. For example:

import csv
import codecs
import urllib2

url = 'http://wildfire.alberta.ca/reports/activedd.csv'
response = urllib2.urlopen(url)
cr = csv.reader([x.strip() for x in codecs.iterdecode(response, 'UTF-16')])

data = [x for x in cr]

# Manipulate the data here

# Now to save the CSV:
with open('outputfile.csv', 'wb') as output:
    writer = csv.writer(output)
    writer.writerows(data)

If you just need to download the file, and not manipulate it, there are better ways (see minitoto's answer).

This is an example, and the newlines have to be stripped manually for this to work properly, so I'm sure there's probably a better way, but that's the main issue