I know it is easy to implement.
I want a dictionary like class, which takes a list of dictionaries in the constructor.
If you read from this dict by key, the dict-class should check the list of dictionaries and return the first value. If none contains this key KeyError should be thrown like a normal dict.
This dictionary container should be read only for my usage.
You seem to be describing
collections.ChainMap, which will be in the next version of Python (3.3, expected to go final later this year). For current/earlier versions of Python, you can copy the implementation from thecollectionssource code.