"Dot" is punto (their word for "period") (or "full stop" for you Brits). They pronounce some suffixes as words e.g. com but others are spelled out in the Italian alphabet. Common domains like Yahoo will be pronounced as words, as will well-known business names. Other words are spelled out, as are the parts before the "at," unless they're easy to understand. The slash is sometimes called by its English name (but pronounced "zlesh"), sometimes called barra. The backslash is called barra inversa. The hyphen is trattino or lineetta, the underscore is trattino or lineetta in basso/a. Am I forgetting anything? Hmmm. Much of the above is fairly recent and therefore is not set in stone.
For Urls, www is pronounced voo-voo-voo. Which is almost as amusing as the little snail.