Are you talking about saving a web page as a PDF? Because I just tested it and it works fine. The JavaScript is:
javascript
df_url=location.href;location.href='http://pdfmyurl.com?url='+escape(pdf_url)
*And I removed the space already, so all you have to do is paste the above into your URL field (when editing the book mark).
I don't really know how to tell you any different, especially after you've said you followed the steps. Maybe you've run across a web site that just won't work to convert. Did you try another to see?
Sorry not to be of more help - I just can't duplicate the error.
Marilyn