You could try the .NET library Proj.Net. See the Loading a projection by Spatial Reference ID page for how to add in the GB National Grid.
Example code from this forum post:
CoordinateSystemFactory c = new CoordinateSystemFactory();
ICoordinateSystem target = c.CreateFromWkt("PROJCS[\"OSGB 1936 / British National Grid\",GEOGCS[\"OSGB 1936\",DATUM[\"OSGB_1936\",SPHEROID[\"Airy 1830\",6377563.396,299.3249646,AUTHORITY[\"EPSG\",\"7001\"]],AUTHORITY[\"EPSG\",\"6277\"]],PRIMEM[\"Greenwich\",0,AUTHORITY[\"EPSG\",\"8901\"]],UNIT[\"degree\",0.01745329251994328,AUTHORITY[\"EPSG\",\"9122\"]],AUTHORITY[\"EPSG\",\"4277\"]],PROJECTION[\"Transverse_Mercator\"],PARAMETER[\"latitude_of_origin\",49],PARAMETER[\"central_meridian\",-2],PARAMETER[\"scale_factor\",0.9996012717],PARAMETER[\"false_easting\",400000],PARAMETER[\"false_northing\",-100000],UNIT[\"metre\",1,AUTHORITY[\"EPSG\",\"9001\"]],AUTHORITY[\"EPSG\",\"27700\"]]");
ICoordinateSystem source = c.CreateFromWkt("GEOGCS[\"GCS_WGS_1984\",DATUM[\"D_WGS_1984\",SPHEROID[\"WGS_1984\",6378137,298.257223563]],PRIMEM[\"Greenwich\",0],UNIT[\"Degree\",0.0174532925199433]]");
CoordinateTransformationFactory trf = new CoordinateTransformationFactory();
ICoordinateTransformation tr = trf.CreateFromCoordinateSystems(source, target);
double[] point = new double[] {-4.0, 55.6};
double[] result = tr.MathTransform.Transform(point);
Console.WriteLine(result);
Alternatively the Ordnance Survey have a downloadable tool if you register at http://gps.ordnancesurvey.co.uk/convert.asp
Best Answer
I found that using the Locate tool from the MAP tab and typing in coordinates based on a spatial reference system works fine for latitude and longitude:
You can then right-click on the result to Zoom To or Pan To.
I got this from a similar question asked and answered on GeoNet which came up when I googled for it but that does not mention British National Grid (and seems to be for UTM zones instead).
The only documentation that I have found about this says:
I could find no hints about how to use British National Grid rather than geographic coordinates in the Locate pane. The XY Provider evident in the graphic above seems to be absent from the documentation too.