Syntax Error with run_saved_query.py

I get the following syntax error on line 39 of run_saved_query.py:

except errors.DfpReportError, e:
                            ^
SyntaxError: invalid syntax

Here's the snipet from code (starting on line 36) that I can't figure out how to format:

try:
  # Run the report and wait for it to finish.
  report_job_id = report_downloader.WaitForReport(report_job)
except errors.DfpReportError, e:
  print 'Failed to generate report. Error was: %s' % e
# Change to your preferred export format.
export_format = 'CSV_DUMP'

Is this a python version issue?

Thanks for the help!