[__init__] Provide a better error messages if URLs are missing (Closes #4813)

youtube_dl/__init__.py

@@ -361,7 +361,9 @@ def _real_main(argv=None):
                 sys.exit()
 
             ydl.warn_if_short_id(sys.argv[1:] if argv is None else argv)
-            parser.error('you must provide at least one URL')
+            parser.error(
+                'You must provide at least one URL.\n'
+                'Type youtube-dl --help to see a list of all options.')
 
         try:
             if opts.load_info_filename is not None: