There's a few things to consider here. Firstly, you've got ASP.NET Request Validation which will catch many of the common XSS patterns. Don't rely exclusively on this, but it's a nice little value add.
Next up you want to validate the input against a white-list and in this case, your white-list is all about conforming to the expected structure of a URL. Try using Uri.IsWellFormedUriString for compliance against RFC 2396 and RFC 273:
var sourceUri = UriTextBox.Text;
if (!Uri.IsWellFormedUriString(sourceUri, UriKind.Absolute))
{
// Not a valid URI - bail out here
}
AntiXSS has Encoder.UrlEncode which is great for encoding string to be appended to a URL, i.e. in a query string. Problem is that you want to take the original string and not escape characters such as the forward slashes otherwise http://troyhunt.com
ends up as http%3a%2f%2ftroyhunt.com
and you've got a problem.
As the context you're encoding for is an HTML attribute (it's the "href" attribute you're setting), you want to use Encoder.HtmlAttributeEncode:
MyHyperlink.NavigateUrl = Encoder.HtmlAttributeEncode(sourceUri);
What this means is that a string like http://troyhunt.com/<script>
will get escaped to http://troyhunt.com/<script>
- but of course Request Validation would catch that one first anyway.
Also take a look at the OWASP Top 10 Unvalidated Redirects and Forwards.