Tell HTC EVO browser to always "select all" when moving to URL field
My best guess is that this behaviour is not configurable and maybe solely HTC's fault (you most problably had a look at every option of your browser already before asking here).

Some options that come to mind:  


You might want to try a different browser than the EVO's default (Dolphin, Opera, Firefox)
Root, unlock and install CyanogenMod or something different (alas, not an option for many due to difficulty, risk and warranty problems)