Add scheme to URL if needed

You could also use UriBuilder:

public static Uri GetUri(this string s)
{
    return new UriBuilder(s).Uri;
}

Remarks from MSDN:

This constructor initializes a new instance of the UriBuilder class with the Fragment, Host, Path, Port, Query, Scheme, and Uri properties set as specified in uri.

If uri does not specify a scheme, the scheme defaults to “http:”.