I just checked and it seems to work fine for me (V 10.2 Mac OSX). I also just fixed the unintended carriage return in (this is the correct version)
url = "http://reference.wolfram.com/mathematica/guide/AlphabeticalListing.html"
in my original post.
Perhaps a Wolfram person in this list can check whether there is a Windows vs Mac issue at play here.
David, I entered your code in v10.2 (Windows 8.1) and got the same result as Baruch.