C# Remove Invalid Characters from Filename

I have data coming from an nvarchar field of the SQL server database via EF3.5. This string is used to create a Filename and need to remove invalid characters and tried following options but none of them works. Please suggest why this is such an understandable mystery? Am I doing anything wrong?

I went though almost all of the related questions on this site.. and now posting a consolidated question from all the suggestions/answers from other similar questions.

UPD: The Issue was unrelated..All of these options do work. So posting it to community wiki.

public static string CleanFileName1(string filename)
{            
    string file = filename;                                            
    file = string.Concat(file.Split(System.IO.Path.GetInvalidFileNameChars(), StringSplitOptions.RemoveEmptyEntries));

    if (file.Length > 250)
    {
        file = file.Substring(0, 250);
    }
    return file;
 }

public static string CleanFileName2(string filename)
{
    var builder = new StringBuilder();
    var invalid = System.IO.Path.GetInvalidFileNameChars();
    foreach (var cur in filename)
    {
        if (!invalid.Contains(cur))
        {
            builder.Append(cur);
        }
    }
    return builder.ToString();
}

public static string CleanFileName3(string filename)
{                                    
    string regexSearch = string.Format("{0}{1}",
        new string(System.IO.Path.GetInvalidFileNameChars()),
        new string(System.IO.Path.GetInvalidPathChars()));
    Regex r = new Regex(string.Format("[{0}]", Regex.Escape(regexSearch)));
    string file = r.Replace(filename, "");

    return file;
}       

public static string CleanFileName4(string filename)
{
    return new String(filename.Except(System.IO.Path.GetInvalidFileNameChars()).ToArray());
}   

public static string CleanFileName5(string filename)
{            
    string file = filename;

    foreach (char c in System.IO.Path.GetInvalidFileNameChars())
    {
        file = file.Replace(c, '_');
    }                                 
    return file;
}