Of course! There is no anchor ("a" element) which should show this is URL. Web browser does not read your mind. It does not try to guess where is the URL. More than that, your text is not HTML.
White valid HTML with valid anchor element to get the anchor you can click on and navigate.
Hope you will find HTML standard by yourself…
See:
http://msdn.microsoft.com/en-us/library/system.windows.controls.webbrowser.navigatetostring.aspx[
^], pay attention to this line "If the text parameter is not in valid HTML format, it will be displayed as plain text.".
—SA