Scroll through the "Select by layer" menu and click on "Urban Areas 2000."
Choose the counties for your area. Many urban areas cross boundary lines, so you may need to download multiple counties.
Download the shape files into a common folder.
Unzip the files using commercial software.
The shape files are ready for viewing. Open the shapefiles in any GIS software.
You will notice that Urbanized Area boundaries that cross county boundaries appear in two different shapefiles. You can merge these polygons together by selecting the different pieces and dissolving the polygons.