try-except-finally is new in 2.5.

Doc/tut/tut.tex

@@ -3765,7 +3765,9 @@ been handled by an \keyword{except} clause (or it has occurred in a
 \keyword{finally} clause has been executed.  The \keyword{finally} clause
 is also executed ``on the way out'' when any other clause of the
 \keyword{try} statement is left via a \keyword{break}, \keyword{continue}
-or \keyword{return} statement.  A more complicated example:
+or \keyword{return} statement.  A more complicated example (having
+\keyword{except} and \keyword{finally} clauses in the same \keyword{try}
+statement works as of Python 2.5):
 
 \begin{verbatim}
 >>> def divide(x, y):