This allows you to change the URL in the nickname information which is available to all users through the INFO command. If you do not put anything after the world URL then it will erase the current URL without replacing it..
Example:
/msg nickserv set url http://www.webmaster.com/
If you have a home page you want to show others, this is a good place to mention it. Again, just keep in mind that any information revealed there will be public.