I grabbed code from the WebUtility class which is available in System.Net of the .NET Framework 4.0. Can be compiled inside .NET 2.0.

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
namespace System.Net
{
 public static class WebUtility
 {
  private static class HtmlEntities
  {
   private static string[] _entitiesList = new string[]
   {
    ""-quot",
    "&-amp",
    "'-apos",
    "<-lt>-gt",
    "u00a0-nbsp",
    "¡-iexcl",
    "¢-cent",
    "£-pound",
    "¤-curren",
    "¥-yen",
    "¦-brvbar",
    "§-sect",
    "¨-uml",
    "©-copy",
    "ª-ordf",
    "«-laquo",
    "¬-not",
    "­-shy",
    "®-reg",
    "¯-macr",
    "°-deg",
    "±-plusmn",
    "²-sup2",
    "³-sup3",
    "´-acute",
    "µ-micro",
    "¶-para",
    "·-middot",
    "¸-cedil",
    "¹-sup1",
    "º-ordm",
    "»-raquo",
    "¼-frac14",
    "½-frac12",
    "¾-frac34",
    "¿-iquest",
    "À-Agrave",
    "Á-Aacute",
    "Â-Acirc",
    "Ã-Atilde",
    "Ä-Auml",
    "Å-Aring",
    "Æ-AElig",
    "Ç-Ccedil",
    "È-Egrave",
    "É-Eacute",
    "Ê-Ecirc",
    "Ë-Euml",
    "Ì-Igrave",
    "Í-Iacute",
    "Î-Icirc",
    "Ï-Iuml",
    "Ð-ETH",
    "Ñ-Ntilde",
    "Ò-Ograve",
    "Ó-Oacute",
    "Ô-Ocirc",
    "Õ-Otilde",
    "Ö-Ouml",
    "×-times",
    "Ø-Oslash",
    "Ù-Ugrave",
    "Ú-Uacute",
    "Û-Ucirc",
    "Ü-Uuml",
    "Ý-Yacute",
    "Þ-THORN",
    "ß-szlig",
    "à-agrave",
    "á-aacute",
    "â-acirc",
    "ã-atilde",
    "ä-auml",
    "å-aring",
    "æ-aelig",
    "ç-ccedil",
    "è-egrave",
    "é-eacute",
    "ê-ecirc",
    "ë-euml",
    "ì-igrave",
    "í-iacute",
    "î-icirc",
    "ï-iuml",
    "ð-eth",
    "ñ-ntilde",
    "ò-ograve",
    "ó-oacute",
    "ô-ocirc",
    "õ-otilde",
    "ö-ouml",
    "÷-divide",
    "ø-oslash",
    "ù-ugrave",
    "ú-uacute",
    "û-ucirc",
    "ü-uuml",
    "ý-yacute",
    "þ-thorn",
    "ÿ-yuml",
    "Œ-OElig",
    "œ-oelig",
    "Š-Scaron",
    "š-scaron",
    "Ÿ-Yuml",
    "ƒ-fnof",
    "ˆ-circ",
    "˜-tilde",
    "Α-Alpha",
    "Β-Beta",
    "Γ-Gamma",
    "Δ-Delta",
    "Ε-Epsilon",
    "Ζ-Zeta",
    "Η-Eta",
    "Θ-Theta",
    "Ι-Iota",
    "Κ-Kappa",
    "Λ-Lambda",
    "Μ-Mu",
    "Ν-Nu",
    "Ξ-Xi",
    "Ο-Omicron",
    "Π-Pi",
    "Ρ-Rho",
    "Σ-Sigma",
    "Τ-Tau",
    "Υ-Upsilon",
    "Φ-Phi",
    "Χ-Chi",
    "Ψ-Psi",
    "Ω-Omega",
    "α-alpha",
    "β-beta",
    "γ-gamma",
    "δ-delta",
    "ε-epsilon",
    "ζ-zeta",
    "η-eta",
    "θ-theta",
    "ι-iota",
    "κ-kappa",
    "λ-lambda",
    "μ-mu",
    "ν-nu",
    "ξ-xi",
    "ο-omicron",
    "π-pi",
    "ρ-rho",
    "ς-sigmaf",
    "σ-sigma",
    "τ-tau",
    "υ-upsilon",
    "φ-phi",
    "χ-chi",
    "ψ-psi",
    "ω-omega",
    "ϑ-thetasym",
    "ϒ-upsih",
    "ϖ-piv",
    "u2002-ensp",
    "u2003-emsp",
    "u2009-thinsp",
    "‌-zwnj",
    "‍-zwj",
    "‎-lrm",
    "‏-rlm",
    "–-ndash",
    "—-mdash",
    "‘-lsquo",
    "’-rsquo",
    "‚-sbquo",
    "“-ldquo",
    "”-rdquo",
    "„-bdquo",
    "†-dagger",
    "‡-Dagger",
    "•-bull",
    "…-hellip",
    "‰-permil",
    "′-prime",
    "″-Prime",
    "‹-lsaquo",
    "›-rsaquo",
    "‾-oline",
    "⁄-frasl",
    "€-euro",
    "ℑ-image",
    "℘-weierp",
    "ℜ-real",
    "™-trade",
    "ℵ-alefsym",
    "←-larr",
    "↑-uarr",
    "→-rarr",
    "↓-darr",
    "↔-harr",
    "↵-crarr",
    "⇐-lArr",
    "⇑-uArr",
    "⇒-rArr",
    "⇓-dArr",
    "⇔-hArr",
    "∀-forall",
    "∂-part",
    "∃-exist",
    "∅-empty",
    "∇-nabla",
    "∈-isin",
    "∉-notin",
    "∋-ni",
    "∏-prod",
    "∑-sum",
    "−-minus",
    "∗-lowast",
    "√-radic",
    "∝-prop",
    "∞-infin",
    "∠-ang",
    "∧-and",
    "∨-or",
    "∩-cap",
    "∪-cup",
    "∫-int",
    "∴-there4",
    "∼-sim",
    "≅-cong",
    "≈-asymp",
    "≠-ne",
    "≡-equiv",
    "≤-le",
    "≥-ge",
    "⊂-sub",
    "⊃-sup",
    "⊄-nsub",
    "⊆-sube",
    "⊇-supe",
    "⊕-oplus",
    "⊗-otimes",
    "⊥-perp",
    "⋅-sdot",
    "⌈-lceil",
    "⌉-rceil",
    "⌊-lfloor",
    "⌋-rfloor",
    "〈-lang",
    "〉-rang",
    "◊-loz",
    "♠-spades",
    "♣-clubs",
    "♥-hearts",
    "♦-diams"
   };
   private static Dictionary _lookupTable = WebUtility.HtmlEntities.GenerateLookupTable();
   private static Dictionary GenerateLookupTable()
   {
    Dictionary dictionary = new Dictionary(StringComparer.Ordinal);
    string[] entitiesList = WebUtility.HtmlEntities._entitiesList;
    for (int i = 0; i < entitiesList.Length; i++)
    {
     string text = entitiesList[i];
     dictionary.Add(text.Substring(2), text[0]);
    }
    return dictionary;
   }
   public static char Lookup(string entity)
   {
    char result;
    WebUtility.HtmlEntities._lookupTable.TryGetValue(entity, out result);
    return result;
   }
  }
  private static char[] _htmlEntityEndingChars = new char[]
  {
   ';',
   '&'
  };
  public static string HtmlDecode(string value)
  {
   if (string.IsNullOrEmpty(value))
   {
    return value;
   }
   if (value.IndexOf('&') < 0)
   {
    return value;
   }
   StringWriter stringWriter = new StringWriter(CultureInfo.InvariantCulture);
   WebUtility.HtmlDecode(value, stringWriter);
   return stringWriter.ToString();
  }
  public static void HtmlDecode(string value, TextWriter output)
  {
   if (value == null)
   {
    return;
   }
   if (output == null)
   {
    throw new ArgumentNullException("output");
   }
   if (value.IndexOf('&') < 0)
   {
    output.Write(value);
    return;
   }
   int length = value.Length;
   int i = 0;
   while (i < length)
   {
    char c = value[i];
    if (c != '&')
    {
     goto IL_110;
    }
    int num = value.IndexOfAny(WebUtility._htmlEntityEndingChars, i + 1);
    if (num <= 0 || value[num] != ';')
    {
     goto IL_110;
    }
    string text = value.Substring(i + 1, num - i - 1);
    if (text.Length > 1 && text[0] == '#')
    {
     ushort num2;
     if (text[1] == 'x' || text[1] == 'X')
     {
      ushort.TryParse(text.Substring(2), NumberStyles.AllowHexSpecifier, NumberFormatInfo.InvariantInfo, out num2);
     }
     else
     {
      ushort.TryParse(text.Substring(1), NumberStyles.Integer, NumberFormatInfo.InvariantInfo, out num2);
     }
     if (num2 != 0)
     {
      c = (char)num2;
      i = num;
      goto IL_110;
     }
     goto IL_110;
    }
    else
    {
     i = num;
     char c2 = WebUtility.HtmlEntities.Lookup(text);
     if (c2 != '')
     {
      c = c2;
      goto IL_110;
     }
     output.Write('&');
     output.Write(text);
     output.Write(';');
    }
    IL_117:
    i++;
    continue;
    IL_110:
    output.Write(c);
    goto IL_117;
   }
  }
 }
}