How convert unicode escape sequence string to readable string?

Just loop through your string getting the hex values, converting them to binary and storing the binary values to a buffer.

When the string contains UTF-16 codes, the parser might look like this (untested, no error checks):

void MyConversion(CStringW str&, const char *sSrc)
{
    size_t nSize = strlen(s);
    wchar_t lpszBuf = new wchar_t[nSize + 1];
    size_t i = 0;
    while (*s && i < nSize)
    {
        if ('\\' == s[0] && 'u' == s[1])
        {
            // This assumes that all hex codes consist of four characters
            char cSave = s[6];
            s[6] = 0;
            lpszBuf[i++] = strtoul(s + 2, NULL, 16);
            s += 6;
            *s = cSave;
        }
        else
            lpszBuf[i++] = *s++;
    }
    lpszBuf[i] = 0;
    str = lpszBuf;
    delete [] lpszBuf;
}