Delay in response when using Python to control ethernet shield

Hi guys

I was following up the steps in this tutorial :

Although everything is ok, I don't want to control my Arduino Mega through a web page. I want to control my Arduino using Python (honestly, controling Arduino is a part of a bigger Python software).

When I press on the 'light on' button on the web page, the LED immediately turns on. However, when I use urllib2 library in Python to request the same URL(""), it takes about 1 second (actually crucial one second to my project) to turn on !

I don't understand why this happens !

the Python code I use is very simple :

import urllib2
urllib2.urlopen("") #after the LED turns on

I hope someone can help me