The URL is simply the 'web address' of the video. It's what appears in your browser's address bar when you're watching the video. To save you having to type it all out, do the following:
If you're actually viewing the video, right-click in the address bar and click 'Copy'. Then right-click, in the space for the URL, in the downloader. Select 'Paste'.
If you're nor actually watching the video, but looking at a link to it, right-click on the link. Select 'Copy shortcut' (or, in Firefox, 'Copy Link Location'). Then right-click in the space for the URL, in the downloader, and select 'Paste'.
Chris