How to remove illegal characters from path and filenames?

I need a robust and simple way to remove illegal path and file characters from a simple string. I’ve used the below code but it doesn’t seem to do anything, what am I missing?

using System;
using System.IO;

namespace ConsoleApplication1
{
    class Program
    {
        static void Main(string[] args)
        {
            string illegal = "\"M<>\"\\a/ry/ h**ad:>> a\\/:*?\"<>| li*tt|le|| la\"mb.?";

            illegal = illegal.Trim(Path.GetInvalidFileNameChars());
            illegal = illegal.Trim(Path.GetInvalidPathChars());

            Console.WriteLine(illegal);
            Console.ReadLine();
        }
    }
}

The original question asked to “remove illegal characters”:

public string RemoveInvalidChars(string filename)
{
    return string.Concat(filename.Split(Path.GetInvalidFileNameChars()));
}

You may instead want to replace them:

public string ReplaceInvalidChars(string filename)
{
    return string.Join("_", filename.Split(Path.GetInvalidFileNameChars()));    
}

This answer was on another thread by Ceres, I really like it neat and simple.