python ConfigParser read file doesn't exist

You could also explicitly open it as a file.

try:
    with open('test.ini') as f:
        config.read_file(f)
except IOError:
    raise MyError()

EDIT: Updated for python 3.

From the docs:

If none of the named files exist, the ConfigParser instance will contain an empty dataset.

If you want to raise an error in case any of the files is not found then you can try:

files = ['test1.ini', 'test2.ini']
dataset = config.read(files)
if len(dataset) != len(files):
    raise ValueError("Failed to open/find all config files")