String inputString = "\\u0625\\u0647\\u0644";
var stringBuilder = new StringBuilder();
foreach (Match match in Regex.Matches(inputString, @"\u([\dA-Fa-f]{4})"))
{
stringBuilder.AppendFormat(@"{0}",
(Char)Convert.ToInt32(match.Groups[1].Value));
}
var result = stringBuilder.ToString();