What is the significance of javascript in url?

 I am learning about "Session fixation" and have read the corresponding OWASP page. In their Example 2 in the above page, they describe an attack via JavaScript, that is embedded in the URL like:

http://website.kom/[removed][removed]=”sessionid=abcd”;[removed]I tried this with an embedded [removed]alert("XSS!!");[removed], but as expected, it did not work.Is there ANY way an URL can run embedded JavaScript?

Note: This question is somewhat similar to Execute reflected XSS in URL, but I am talking about scripts in the URL, not from a HTTP header.