If you are trying a cross-domain request:
(This is about Ajax, but I believe the same applies to "load from url")
Making AJAX requests cross-domain or in preview
By default, browsers block AJAX requests across domains. This means, for example, a game on scirra.com can request other pages on scirra.com, but cannot request pages on facebook.com. This is an important security feature of web browsers (it is not specific to Construct 2 or its AJAX object).
Also, when previewing in Construct 2 the game runs on localhost. This counts as a different domain to the rest of the internet, so typically AJAX requests to any web page will fail during preview, unless the server explicitly allows cross-domain requests.
If you want AJAX requests to your server to work from any domain, or in preview, you can configure it to send the following HTTP header:
This will enable AJAX requests from any domain, but you should still be aware of the possible security implications of this. For more information on cross-domain requests see HTTP access control on MDN.