Paste URL from clipboard text?

Have you considered using the inline rename to change the name after the file has been created? Personally I would rather use the inline rename than a dialog. You could have Leo's above script enter inline rename for the file after it has been created like so.

@runmode hide
echo.[InternetShortcut]>"Clipboard URL.url"
echo.URL={clip}>>"Clipboard URL.url"
Select "Clipboard URL.url" EXACT MAKEVISIBLE
rename inline

Aside, Getting SELECT to set the focus seemed impossible. It was not until I came across this post how to select a newly created file? that I realised its was possible via MAKEVISIBLE.