A different approach without using regular expressions. Supports 'hash' anchors at the end of the url as well as multiple question mark charcters (?). Should be slightly faster than the regular expression approach.
function setUrlParameter(url, key, value) {
var parts = url.split("#", 2), anchor = parts.length > 1 ? "#" + parts[1] : '';
var query = (url = parts[0]).split("?", 2);
if (query.length === 1)
return url + "?" + key + "=" + value + anchor;
for (var params = query[query.length - 1].split("&"), i = 0; i < params.length; i++)
if (params[i].toLowerCase().startsWith(key.toLowerCase() + "="))
return params[i] = key + "=" + value, query[query.length - 1] = params.join("&"), query.join("?") + anchor;
return url + "&" + key + "=" + value + anchor
}