The url can either be an absolute http/https url or path inside the Jenkins root directory (JENKINS_HOME). Typically, you want to put the file in the userContent folder in your JENKINS_HOME directory. Paths outside the Jenkins root directory are not allowed for security reasons.
Do not use the absolute url <jenkins_url>/userContent/... as the plugin would try to download the file from Jenkins as anonymous user which will fail if anonymous has no Overall/Read permissions.