How do I get the day month and year from a Windows cmd.exe script?

To get the year, month, and day you can use the %date% environment variable and the :~ operator. %date% expands to something like Thu 08/12/2010 and :~ allows you to pick up specific characters out of a variable:

set year=%date:~10,4%
set month=%date:~4,2%
set day=%date:~7,2%
set filename=%year%_%month%_%day%

Use %time% in similar fashion to get what you need from the current time.

set /? will give you more information on using special operators with variables.