Let U be uniformly distributed on the interval [-1,1]. Define V=U^2. What is corr(U,V)?

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Correlation does not describe curved relationships between variables, so the answer should be 0, right?

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No. The correlation in this case does happen to be $0$, but there's more to it than that. There are lots of "curved relationships" that have nonzero correlation. For example, the correlation of $U$ and $U^3$ would be nonzero.

Hint: Express the covariance in terms of expected values, and use symmetry to show some of these are $0$.