First thing is, do you have your own personal website, blog or some form of personal web space you access via www.whateveritiscalled.com?
If yes then you have a url, Uniform Resource Locater, if not then you probably don’t.
Were you looking at a blog, that you wanted to comment on? Some bloggers assume everyone else has their own blog and basically they want your url for it. Like exchanging postal addresses or phone number so you can be contacted.