On mine, "Open URL" is on the file menu.
If you cannot see the file menu, then:
<organize> <layout> and tick 'show menu bar'. Then you should see the old style menu <file> <edit> <view> etc.
Click <file> and the options are <open> <open url> etc
Alternatively if you dont want the old menus showing:
1 Open WMP, Press the <alt> key then the <f> key and the menu should appear.
or
2 just type <ctrl> <u> together ( i.e. control key AND u key at the same time )