Something like :
Color color = Color.Red;
string colorString = string.Format("#{0:X2}{1:X2}{2:X2}",
    color.R, color.G, color.B);
Doing it the other way is a little more complex as #F00 is a valid html color (meaning full red) but it is still doable using regex, here is a small sample class :
using System;
using System.Diagnostics;
using System.Drawing;
using System.Text.RegularExpressions;
using System.Collections.Generic;
public static class HtmlColors
{
    public static string ToHtmlHexadecimal(this Color color)
    {
        return string.Format("#{0:X2}{1:X2}{2:X2}", color.R, color.G, color.B);
    }
    static Regex htmlColorRegex = new Regex(
        @"^#((?'R'[0-9a-f]{2})(?'G'[0-9a-f]{2})(?'B'[0-9a-f]{2}))"
        + @"|((?'R'[0-9a-f])(?'G'[0-9a-f])(?'B'[0-9a-f]))$",
        RegexOptions.Compiled | RegexOptions.IgnoreCase);
    public static Color FromHtmlHexadecimal(string colorString)
    {
        if (colorString == null)
        {
            throw new ArgumentNullException("colorString");
        }
        var match = htmlColorRegex.Match(colorString);
        if (!match.Success)
        {
            var msg = "The string \"{0}\" doesn't represent"
            msg += "a valid HTML hexadecimal color";
            msg = string.Format(msg, colorString);
            throw new ArgumentException(msg,
                "colorString");
        }
        return Color.FromArgb(
            ColorComponentToValue(match.Groups["R"].Value),
            ColorComponentToValue(match.Groups["G"].Value),
            ColorComponentToValue(match.Groups["B"].Value));
    }
    static int ColorComponentToValue(string component)
    {
        Debug.Assert(component != null);
        Debug.Assert(component.Length > 0);
        Debug.Assert(component.Length <= 2);
        if (component.Length == 1)
        {
            component += component;
        }
        return int.Parse(component,
            System.Globalization.NumberStyles.HexNumber);
    }
}
Usage :
// Display #FF0000
Console.WriteLine(Color.Red.ToHtmlHexadecimal());
// Display #00FF00
Console.WriteLine(HtmlColors.FromHtmlHexadecimal("#0F0").ToHtmlHexadecimal());
// Display #FAF0FE
Console.WriteLine(HtmlColors.FromHtmlHexadecimal("#FAF0FE").ToHtmlHexadecimal());