I am writing a script which will run on my server. Its purpose is to download the document. If any person hit the particular url he/she should be able to download the document. I am using urllib.urlretrieve but it download document on the server side not on the client. How to download in python at client side?
If the script runs on your server, its purpose is to serve a document, not to download it (the latter would be the urllib solution).
Depending on your needs you can:

Set up static file serving with e.g. Apache
Make the script execute on a certain URL (e.g. with mod_wsgi), then the script should set the Content-Type (provides document type such as "text/plain") and Content-Disposition (provides download filename) headers and send the document data

As your question is not more specific, this answer can't be either.
how to download in python