[Python] Error 'failed to load external entity' when using Python lxml

I'm trying to parse an XML document I retrieve from the web, but it crashes after parsing with this error:

': failed to load external entity "<?xml version="1.0" encoding="UTF-8"?>
<?xml-stylesheet type="text/xsl" href="GreenButtonDataStyleSheet.xslt"?>


That is the second line in the XML that is downloaded. Is there a way to prevent the parser from trying to load the external entity, or another way to solve this? This is the code I have so far:

import urllib2
import lxml.etree as etree

file = urllib2.urlopen("http://www.greenbuttondata.org/data/15MinLP_15Days.xml")
data = file.read()
file.close()

tree = etree.parse(data)

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