It is rather easy when you use the Convert-Class. The ToInt32 function has an overload with a second parameter which represents the base the string is in.
using System.Drawing
Color yourColor = Color.FromARGB(Convert.ToInt32("FF00FF", 16));
If the color you want to use is a constant, in C# use System.Drawing.Color.FromArgb (0xFF00FF). That is slightly faster than System.Drawing.Color.FromName or System.Drawing.Color.FromHtml, since the parsing from a string to integer is done at compile time rather than at runtime.