or:
Dim test As String = "c:\My Documents\Records\2096 My FileName.pdf"
Dim fileName As String
fileName = Regex.Split(test, "\\").Last.Substring(Regex.Split(test, "\\").Last.IndexOf(" ") + 1, Regex.Split(test, "\\").Last.IndexOf(".") - Regex.Split(test, "\\").Last.IndexOf(" ") - 1)