At Admin Panel -> Settings -> Switches, the "URLs" switch controls whether the submit listing page prompts people to supply a URL with their submission. If you're doing a directory that doesn't involve websites, you can turn this off. If any of your listings will involve a website, you'll want it on. When you enable the URLs switch, a large number of subswitches become available for different URL-dependent features.

Generally, you'll have the URLs switch on in WSN Links, WSN Directory and WSN Software Directory but probably off in WSN Gallery, WSN Knowledge Base and WSN Forum. WSN Classifieds could go either way depending on the type of classifieds.