Not sure I understand, but if you have a the URL in a string, you can use the split function to get the filename out of it.
The following example VB code will strip it out into a variable called filename:
Dim url As String = "http://somedomain.com/september/septemberdata.hml"
'Split the url up by the slash into an array
Dim url_parts() As String = url.Split("/"c)
'The filename is the element numbered one less then the array length
Dim filename As String = url_parts(url_parts.Length - 1)
If there are any querystring parameters after the filename, you can remove them with the following code:
Dim filename_parts() As String = filename.Split("?"c)
filename = filename_parts(0)
Hope this helps,
Ken