What is the relation with Minim? Is it a class from this library? If not, what is this class?

I don't know much about minim, but this appears to be a feature in the next beta, not the current version of minim:

Yes, changing formatting of part of an URL breaks the URL...
And indeed, I had a quick look at the JavaDoc of Minim, the one shipped with Processing, since this has been posted in the Core Libraries section... and haven't found the class. Didn't felt like searching more, it is up to the OP to do the work, not to the helpers...

But since you did the work, datguy (thanks), I had a look.
We lack information and context, but I guess the OP (or Processing for him) made an import like:
import ddf.minim.ugens.UGen;
or
import ddf.minim.ugens.*;
instead of:
import ddf.minim.ugens.UGen.UGenInput;

In this case, one has to follow the syntax of the constructor given in the JavaDoc:
audio = new UGen.UGenInput();

Side note. I see Minim isn't following a tacit (non-official) "rule" of not using plural in package names. Looks odd.

I don't think you're supposed to call the UGenInput(...) constructor. It is an internal class of UGen that represents the point at which other UGens can be connected upstream (inputs). In the UGens package there is a class called LiveInput that inherits from UGen with the following description:

LiveInput is a way to wrap an input stream with the UGen interface so that you can easily route incoming audio through a UGen graph. You can get an AudioStream that is reading an input from Minim by calling Minim.getInputStream.

Maybe that is what you're looking for.