Your main website URL refers to this: example.domain.com. It is your base URL; it is most likely the URL that you're sharing with others to gain visitors to your site.
You can only set a lead capture page as your main website URL. However, you can select which lead capture page is set as your main website URL. You can do this by going to the left-hand side of your account and hitting My Marketing Pages > My Links. In the top box on this page, you can select a lead capture page from the drop-down menu. Once you have your desired lead capture page chosen, hit "Save" to save your option.
To view all of the lead capture pages available to you, just go to My Marketing Pages > Lead Capture.