In visual code , u have to write import urllib.request instead of just import urllib.
Also, whenever errors such as module x has no attribute y occurs, it's because you have named the current file same as the package you are trying to import.
So, the way import in python works is that it first searches the current dir, and if it finds the module/package 'x' u were looking for , it assumes that it has found the target file, and searches for 'y'. And since u haven't defined 'y', the aforementioned error occurs.