Thank you for you answer and because of that I've realized that it is nothing to put into the URL String.
Looks like this will work:
Code:
NSString* userAgent = @"My Cool User Agent";
NSURL* url = [NSURL URLWithString:@"http://whatsmyuseragent.com/"];
NSMutableURLRequest* request = [[[NSMutableURLRequest alloc] initWithURL:url]
autorelease];
[request setValue:userAgent forHTTPHeaderField:@"User-Agent"];
NSURLResponse* response = nil;
NSError* error = nil;
NSData* data = [NSURLConnection sendSynchronousRequest:request
returningResponse:&response
error:&error];