If all your file names are in the same format as you have mentioned above, then you can use the following console application code snippet to get the date from the string in to the Date format
using System;
using System.Collections.Generic;
using System.Text;
namespace DateString {
class Program {
static void Main(string[] args) {
string fileName = "fileName_20120210.csv";
DateTime date;
int dateStringStart = fileName.LastIndexOf("_")+1;
int dateStringLength = fileName.LastIndexOf(".")-dateStringStart;
string dateString = fileName.Substring(dateStringStart, dateStringLength);
date = new DateTime(Int32.Parse(dateString.Substring(0, 4)),
Int32.Parse(dateString.Substring(4, 2)),
Int32.Parse(dateString.Substring(6, 2)));
Console.WriteLine(date);
Console.ReadKey();
}
}
}