That's one of the little things that bugs the *&^% out of me on Windows. On a Mac, if I want to copy a URL from the address bar to paste into an e-mail or AIM, it's a piece of cake -- shift-up-arrow goes to the beginning, shift-down-arrow selects the line, and command-C copies. Windows one-line text fields also don't seem to have a consistent double- and triple-click behavior.
In fairness, there might be an equally simple way to do that in Windows, but it's not as automatic to me.
In windows, the first click selects the entire address. Otherwise, click on the address, then hit ctrl-a, ctrl-c to select all and copy.