You can't really format it that way using that mmdd number format. At least it doesn't work for me. (Excel 2010/ Win 7 European Locale)
What I'd suggest it's adding an extra column and copying over the data to keep the original format then hiding that column in the end. Meanwhile, you would use Month() and Day() functions to create the desired format.
Sub formatColumns()
Dim lastRow As Long
' Set the LastRow variable to hold the last row number
lastRow = Cells.Find("*", [A1], , , xlByRows, xlPrevious).Row
Dim cell As Range
For Each cell In Range("B3:B" & lastRow)
'cell.NumberFormat = "mmdd;@"
cell.Insert Shift:=xlToRight, CopyOrigin:=xlFormatFromLeftOrAbove
cell.Offset(0, -1).NumberFormat = "@"
cell.Offset(0, -1) = _
IIf(Len(Month(cell)) = 1, "0" & Month(cell), Month(cell)) & _
IIf(Len(Day(cell)) = 1, "0" & Day(cell), Day(cell))
Next
Columns("C:C").EntireColumn.Hidden = True
End Sub
if you don't want to add an extra column but you dont mind loosing the original format then you can just replace the contents of the cells using this code
Sub formatColumns()
Dim lastRow As Long
' Set the LastRow variable to hold the last row number
lastRow = Cells.Find("*", [A1], , , xlByRows, xlPrevious).Row
Dim cell As Range
For Each cell In Range("B3:B" & lastRow)
'cell.NumberFormat = "mmdd;@"
cell = IIf(Len(Month(cell)) = 1, "0" & Month(cell), Month(cell)) & _
IIf(Len(Day(cell)) = 1, "0" & Day(cell), Day(cell))
Next
End Sub