When you paste a URL in (instead of uploading documents), initially you get a progress bar and then it's listed as a 'proof' below the URL input area. If you hover over it, there's a little pencil icon. Click on that. By default it's capturing a screen shot of the first page only, If you select the checkbox for 'Look for sub-pages' it will bring up an index of the pages on the website, and allow you to select sub-pages to include.
Alternatively, if you select 'interactive' it then points real-time to the website. The down-side with interactive is there is no real version control - if you see a comment of 'make font bigger' and a designer increases the font size, when you next view the proof the font size has increased but there is no 'record'. It's reflecting the website in real time. Barry Buchanan - WMA Work Management Australia