C#

string base36Characters = "0123456789";
string base36Alaphs = "ABCDEFGHIJKLMNOPQRSTUVWXYZ";

string toBase36(int x, int digits)
{
  char[] result = new char[digits];
  for (int i = digits - 1; i >= 0; --i)
  {
      result[i] = base36Characters[x % 10];
       x /= 10;
   }
   return new string(result);
}

IEnumerable<string> base36Counter()
 {
    for (int i = 0; i < base36Alaphs.Length; i++)
    {
      for (int n = 0; n <; 10 * 10 * 10 * 10; ++n)
      {
         yield return base36Alaphs[i] + toBase36(n, 4);
      }
   }
}

void Run()
{
    foreach (string s in base36Counter())
        Console.WriteLine(s);
}

0001, 0002, ... 0009, 000A, 000B, ..., 000Z, 0010, 0011, 0012, ..., 0ZZZ, A000, A001, ... ZZZZ

static string ConvertNumber(int number)
{
   if (number < 0) throw new ArgumentOutOfRangeException();

   int decimalPart;
   int columnNumber = Math.DivRem(number, 10000, out decimalPart) + 1;
   int length = 5 + (int)Math.Floor(Math.Log(columnNumber, 26));

   int resultIndex = length - 1;
   char[] result = new char[length];

   for (int i = 0; i < 4; i++)
   {
      int remainder;
      decimalPart = Math.DivRem(decimalPart, 10, out remainder);
      result[resultIndex] = (char)('0' + remainder);
      resultIndex--;
   }

   while (columnNumber != 0)
   {
      int remainder = (columnNumber - 1) % 26;
      columnNumber = (columnNumber - remainder - 1) / 26;
      result[resultIndex] = (char)('A' + remainder);
      resultIndex--;
   }

   resultIndex++;
   return new string(result, resultIndex, length - resultIndex);
}