Parsing a date with a custom format is as easy as pie with the DateTime.ParseExact method, check it:

DateTime.ParseExact("04292008", "MMddyyyy", null)

Where the first parameter is the value to parse, the second is a format string and for the culture info you can pass null for the current culture (Unless you need to specify one).

UPDATE:

If you need to exclude other characters in the string you can add the literal values qualified by single quotes in the format string. So for example lets say you wanted to extract the date and hour from an IIS log filename, ex08041013.log. You could pass the format string 'ex'yyMMddHH'.log' and the parse method will ignore the ex and .log portions of the string.

DateTime.ParseExact("ex08041013.log", "'ex'yyMMddHH'.log'", null)