\documentclass{article}
\usepackage[pdftex,active,tightpage]{preview}
\setlength\PreviewBorder{2mm}
\usepackage{tikz}
\usetikzlibrary{shapes,snakes} 
\usepackage{amsmath,amssymb}

\begin{document}
\begin{preview}


% Define box and box title style
\tikzstyle{mybox} = [
    draw=red, 
    fill=blue!20, 
    very thick,
    rectangle, 
    rounded corners, 
    inner sep=10pt, 
    inner ysep=20pt
]
\tikzstyle{fancytitle} =[fill=red, text=white]


\begin{tikzpicture}
\node [mybox] (box){
    \begin{minipage}{0.9\textwidth}
        $\underbrace{\text{http}}_{\text{protocol}}
          \text{://}
          \underbrace{
                \overbrace{\text{martin-thoma}}^\text{2\textsuperscript{nd} level domain}
                \text{.}
                \overbrace{\text{com}}^\text{TLD}
          }_\text{hostname}
          \underbrace{\text{/why-to-study-math/}}_\text{path}
          \text{\#}
          \underbrace{\text{Math\_is\_fun}}_\text{Fragment identifier}$
    \end{minipage}
};
\node[fancytitle, right=10pt] at (box.north west) {The URL};
\end{tikzpicture}
\end{preview}
\end{document}
