\documentclass[11pt]{article}
\usepackage[]{color}
\usepackage[letterpaper,colorlinks,breaklinks,backref]{hyperref}
%\usepackage{url} %use as alternative to hyperref for testing
\newcommand{\myurl}[1]{{\url{{#1}}}}

\begin{document}
\url{http://www.wmich.edu/mus-theo/etg/et_guide.html} %ok now with hyperref, ok with url
\myurl{http://www.wmich.edu/mus-theo/etg/et_guide.html} %fails with hyperref, ok with url

\cite{THE}
\bibliographystyle{unsrt}
\bibliography{testurl}%fails with hyperref, ok with url
\end{document}
