Select that column
Data|Text to columns
Fixed width (but don't add any lines and remove any that excel guessed)
Choose Date (mdy)
and finish up.
Apply the date format you want from Format|cells|number tab.
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Be aware that if you have any real dates in that original column, this may
destroy those dates.
For instance, you may have imported any values that looked like: 01/02/2006 as
a real date. But it may not be the date that you think.
If the date came from a USA source, then it probably meant January 2nd, 2006.
But since excel (with your Australian settings) could see that it was a valid
date and that cell may be February 1st, 2006.
You may want to check to see if you have any of those problems before you
continue.