I've recently answered a question regarding URL actions (How do I populate unique URL actions for each data point straight from my data sheet? Thanks!), and following some further comments thought I'd work up a quick example to show how this works. I've used the Superstore EU dataset, and created this in Tableau 9.0.
So in this example, we have a scatter plot (Sales and Profit), and each mark on the scatter-plot is a State, and on clicking on a mark, we want to bring up a Menu action to go to the Wiki-page for that state.
The key here is that you need to have the field you want to pass to the URL, in the level of detail of the Viz. In my example I have state
I can then create a URL action, with a set URL (in my case http://en.wikipedia.org/wiki/ followed by the selected state, which is dynamic on the users selection).
The URL Action is set up as per the below
The little right arrow next to the URL field, lets me know which 'dynamic' elements I have access to. You can't just put any dimension in the URL with <...> enclosures, else it will throw an error. Notice also, that although not in my viz detail, I also have access to any parameters (Profit Bin Size, and Top N are both parameters).
The final effect is that when the user clicks a Mark, it will bring up a Hyperlink ('Link to Wiki Page' in my example, as this is the name of my Action), which when clicked, will take them to the Wiki-page for the selected state (assuming it has one!)
I create actions with dynamic URLs like this in most of the dashboards I develop.