please read the msdn page on DateTime tostring formatting
https://msdn.microsoft.com/en-us/library/8kb3ddd4(v=vs.110).aspx[
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UPDATE
Oh actually, thinking about it you can use the ToString formatting, or the string.Format.
Here are a couple of examples:
string filename = "month " + DateTime.Now.ToString("MM");
int month = DateTime.Now.Month;
string = string.Format("month {0:D2}",month);
Either might be best - I would go for string.Format. I think it looks neater