CreateURLTransferObject is a utility function that's included in some of the sample code. It's in the videoplayer and in the mrsstemplate samples, for example.
If you know the file you're testing is always a URL and not a local file, you don't need to do the pattern matching, you can just use the code that's in the LiveFile.IsMatch clause. And it's kind of odd that he's converting the response codes to strings before comparing them; you can just do
if LiveFileStatus.GetResponseCode() = 200 OR LiveFileStatus.GetResponseCode() = 304
Note that technically this code doesn't check whether the file exists, it checks whether the web server returns a valid response to a HEAD request. It's possible to configure a web server to return an error even though the file exists, or to return success even though the file doesn't exist, but that would be unusual.