AutumanChen's method is ok, you just need do something with the url itself, for example
static string MyMatchEval(Match m)
{
/*string s = m.Groups["name"].Value;
Uri u = new Uri(s);
return String.Format("<a href=\"{0}\">{1}</a>",s,System.IO.Path.GetFileName(u.LocalPath));
*/
string s = m.Groups["name"].Value;
return String.Format("<a href=\"{0}\" target=\"_blank\">{1}</a>",s,System.IO.Path.GetFileName(s));
}