Do you want it fast?
Let's say you have a date with format yyMMdd.
The fastest way to convert it that I found is:
var d = new DateTime( (s[0] - '0') * 10 + s[1] - '0' + 2000, (s[2] - '0') * 10 + s[3] - '0', (s[4] - '0') * 10 + s[5] - '0')
Just, choose the indexes according to your date format of choice. If you need speed probably you don't mind the 'non-generic' way of the function.
This method takes about 10% of the time required by:
var d = DateTime.ParseExact(s, "yyMMdd", System.Globalization.CultureInfo.InvariantCulture);