Try this:
$string = '<u>\\n\\\\*HYPERLINK \\"http://www.youtube.com/watch?v=A0VUsoeT9aM\\"A Youtube Video</u>';
$pattern = '/http[?.:=\\w\\d\\/]*/';
$namePattern = '/(?:")([\\s\\w]*)</';
preg_match($pattern, $string, $matches);
preg_match($namePattern, $string, $nameMatches);
echo 'a href="'.$matches[0].'">'.$nameMatches[1].'/a>';
//outputs <a href="http://www.youtube.com/watch?v=A0VUsoeT9aM">A Youtube Video</a>
Edit: changed so that the name is also extracted.