Images must be included in the project Files folder first in order to be imported at runtime. once you have done that, you don't even need to provide an absolute URL to the action, just the filename.
The new image will replace the current frame of animation. So in order to load a whole animation dynamically, you must first create an empty sprite in your project, with a set number of blank frames. Then you must load each frame one by one with the Load image from URL action. But you must make sure to go to the next animation frame between each loading action, using the Set Frame action, or each new image will keep overwriting the same frame