What is "Error: Could not find valid value for u"
What should this URL do?

This URL is used to track the number of clicks done on the URL included in mailings.
When the URL is included in mailing, it is in the format of civicrm/mailing/url?qid=&lt;mailing_queue_id&gt;&amp;u=&lt;url_id&gt;
If there is no URL id (u parameter), use of the above link is invalid, hence the error.
So i think you should never have this URL without u query string in it. How do you get this URL from?