If you do a
System.out.println( url.toString() );
that will help you debug your path
So often, when using an IDE, you have source files in one folder, and the IDE makes another folder for the .class files. Therefore, the JRE is pointing to the main() with the .class code and the sound file is not there because the human has the sound file with the source code. So, first put the sound file with your .class -- wherever else it may be.
Second, getAudioClip() is an interface for Applet audio functionality.
import sun.audio.*; //import the sun.audio package
import java.io.*;
//** add this into your application code as appropriate
URL url = this.class.getResource( "gimmeShelter.wav" );
String filename = url.getPath(); // this will be the C:/blah_blah/blah .. correct everything slashes
// Open an input stream to the audio file.
InputStream in = new FileInputStream( filename );
// Create an AudioStream object from the input stream.
AudioStream as = new AudioStream(in);
// Use the static class member "player" from class AudioPlayer to play
// clip.
AudioPlayer.player.start(as);
// Similarly, to stop the audio.
AudioPlayer.player.stop(as);