You can use the FileInfo constructor. It will throw a ArgumentException if "The file name is empty, contains only white spaces, or contains invalid characters." It can also throw SecurityException or UnauthorizedAccessException, which I think you can ignore if you're only concerned about format.
Another option is to check against Path.GetInvalidPathChars directly. E.g.:
boolean possiblePath = pathString.IndexOfAny(Path.GetInvalidPathChars()) == -1;
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