> How do I use/set the URL list feature?   

Select (just below the URL list) the list filename ; which 
must be a text file, with ONE link per line, such as
<http://www.foo.com/example/index.html>
<http://www.bar.com/anyway>

That is, in the second winhttrack pannel:

Action: [ Download web site(s)  ]

Web Addresses: (URL)
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URL list (.txt) ____________ [..]