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Well, you really have little choice but to fire up a HttpWebRequest object and hit it. YOu'll either get a response object or a trappable error.
A simpler way ( if you don't care about the WHOLE url ) might be to parse out just the prefix and domain identifier ( www.theurlnotexists.com ) and try to ping it, but I suspect you'll do better just hitting the entire url.
You'll want to thread it out so your app doesn't sit hung for a small amount of time while DNS tries to resolve a bad name (http://wwww.thisurlcould&$neverExists.comm/) or while the server is chewing on the full url you've parsed it (http//:www.yahoo.com/valid/domain/but/bad/directories/and?url.parameter.values=111)