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The tutorial you link does not instruct you to replace the urdf_file variable name with the name of your urdf file. If you look at the example code, urdf_file is a variable that gets assigned the first parameter given to the program you are creating:

std::string urdf_file = argv[1];

You don't need to replace urdf_file with an actual file name. Just pass it as a parameter when starting the parser program.

PS:

I'm following this tutorial on creating a simple URDF for use in Gazebo

If you just want to create URDFs, and not read or parse them, I'd recommend following the Learning URDF Step by Step tutorials. The Learning URDF tutorials will teach you about the programmatic (C++) interface(s), which is probably not what you are interested int.