Hey,
pmroz's answer is great if you want to generate the date column on the server. If you're okay with the date column being generated in JMP after the query finishes, you could add this JSL code to the Post-Query Script panel in Query Builder:
New Column( "Date",
Numeric,
"Continuous",
Format( "m/d/y", 12 ),
Input Format( "m/d/y" ),
Formula( Date MDY( :month, :day, :year ) ),
);
One advantage of doing it this way is that it work regardless of what database you have. Of course, if all you have is SQL Server, you may not care about other databases....
HTH,
Eric