It's very simple: comment forms that ask for your URL are asking where your blog, website, myspace page or other personal page on the Internet is. Some bloggers tend to assume that everyone is a blogger these days and are a bit surprised to discover that not everyone has their own page on the Internet. And indeed, a very large number of people at least have a MySpace page.
So, if you have a blog of your own on blogspot.com, you might respond with: http://myblogsname.blogspot.com/
If you have a LiveJournal, you might respond with:
If you are a MySpace user, you might respond with:
If you have a website of your very own, you might respond with:
... And so on.
If you don't have a home page of any sort on the Internet, live the URL field blank. If you don't wish to see your home page linked from your blog comment— again, just leave the URL field blank.
You may come across the occasional site that won't allow you to comment without providing a URL of your own. That's an unusual situation, but if it does happen, you might consider creating a mostly empty myspace page or other free web page so that you have something legitimate to enter in these fields. Or just don't comment on blogs that make providing a URL mandatory.
For more information about URLs in general, see my article what is a URL?
Got a LiveJournal account? Keep up with the latest articles in this FAQ by adding our syndicated feed to your friends list!