expat and compressed xml

Hello,

Here is a quick question about parsing xml .gz file. Here is what I
did. With the following script

req = urllib2.Request(query_url)
xml_file = urllib2.urlopen(req).read()

I downloaded a compressed xml file.  The file has a suffix of ".gz".

Now I used

p = xml.parsers.expat.ParserCreate()
p.ParseFile(xml_file)

The last line gave

Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
TypeError: argument must have 'read' attribute

xml_file is not a file. It is a string therefore it gave an error.

Anybody knows how to uncompress the downloaded file? I know that
"gunzip" can be used to uncompress ".gz" files, however I do not know
how to get the uncompressed result.

Any help? Thanks so much.