You could have it document.write(NewWin.document.location ) in the program so it will display it right there. You could put it in a button and if you can time it just right, so right when the desired URL loads, hit the button, and it'll write the URL in the HTA window. I attached the program again with this button added.


And yeah, that prompting is a security feature, but it doesn't prompt me when I run it from my hard drive. I think it may prompt me only the first time I run it.
Here's some links about HTA's:
http://msdn.microsoft.com/workshop/author/hta/overview/htaoverview.asp
http://msdn.microsoft.com/workshop/author/hta/reference/hta_ref_entry.asp
http://support.microsoft.com/default.aspx?scid=kb;EN-US;q241754