Just as Szczepan points out you're missing the Javassist dependency needed to use PowerMock so that's why you get that error message. You should download
http://powermock.googlecode.com/files/powermock-1.2.5-with-dependencies.zip or use maven.
Unfortunatley you can't create a _mock object_ of the URL class with PowerMock right now because it's a final system class (you can read about the problems with final system classes
here). Since PowerMock 1.2.5 you can mock _static_ methods of final system classes (using
this approach) but you cannot mock "instance methods". I'm actually in the process of implementing support for this as well but I ran into some issues so I put on hold. But hopefully you'll be able to do it in the next version (which will also have much better Mockito support).
/Johan