The standard way we solve this problem is to make a static method on MyWidget, like MyWidget::set_url().
You then call that method from _config.php
In terms of load ordering, MyWidget.php is loaded the first time MyWidget is referenced, so putting MyWidget::$url = "bla"; into you _config.php will work too.
There's been discussion of building a more generic configuration API for all these settings, rather than having lots of static methods and variables, but it's early days yet.
By the way, the decision over whether to configure a widget in _config.php or in the CMS is important:
* If the setting is the kind of thing that a website author, familiar with common business apps such as Word and Outlook, would understand - then make it configurable in the CMS.
* If the setting is the kind of thing that the person setting up the website - doing the design and/or development - would understand, then make it configurable in the _config.php file.
This way, the CMS remains an application designed for content authors, and not developers.