Indeed many times when importing a data set from SQL or some other ERP system, the underlying data will not be recognized as a Date even though your cell is formatted as a Date; it is many times a text (which I believe is a smaller bit size than date - confirmation pls on this!). The only thing to do is to transform the underlying data to a Date Type by doing exactly as Robert suggested above, or you can alternatively create a query and pull your data in to Excel that way. You will still need to change the Data Type to Date in your query. Excel Query will be able to handle Date/Time.
Hope that helps!