To insert an internal link to another item within a UR item's text, you don't need to use 'Copy with URL' -- you can just use a regular copy.
http://www.kinook.com/UltraRecall/Ma...nallinking.htm
'Copy with URL' does more than a regular copy -- it also copies the item's title and its URL attribute (if it is has a URL attribute) as text for pasting into other applications, but I now realize that's not what you were trying to do.
http://www.kinook.com/UltraRecall/Ma...therapplic.htm
Copying the URL of the UR item itself (regardless of what type of item it is) for linking to the UR item from other applications is accomplished as $bill indicated, via
Item | Copy Item Command-Line.
http://www.kinook.com/UltraRecall/Ma...miscdialog.htm