AUCTeX can DTRT here if you give her a chance. Please customize the
variable `TeX-parse-self' to t, restart Emacs and open your .tex file
again. AUCTeX will then load a support file for hyperref or url (or
both, depending on your .tex file) and the fontification will be
correct.
Wow, that works like magic! Thanks for your help.
Having said that, may I ask why that's not set by default? I googled but found no metion to TeX-parse-self to parse special characters within URLs.
(Well, if this discussion is searchable by Google, then it will be the webpage I wanted :-)
Regards,
Ryo