Explain to your students just what constitutes an "urban legend". You may start by asking them if they've ever heard the story about the Kentucky Fried rat, or the dog who was choking and was found to have a burglar's fingers stuck in his throat, or perhaps the woman who tried to dry off her poodle in the microwave. You could also include a more contemporary variant, introducing the topic of internet hoaxes - i.e. the little boy dying of cancer who needs to have one million people forward a certain email.
Whether your students have heard of such legends and hoaxes or not, you will need to read a few examples of the different types of urban legends to make sure they have a good understanding of just what types of stories are being discussed. A good source of print urban legends are the series of books by folklorist Jan Harold Brunvand, including "The Choking Doberman" and "The Mexican Pet". You may also, if you are web-savvy, go online to print out examples of urban legends that have been transmitted via email, on websites or in newspapers.