You're just going to have to pre-convert the data.
Or you could do it with a custom INSERT statement, of course. But there's no good way to bulk insert those values.
If you really can't pass the data through some ASP or ASP.NET page on the way in--or some equivalent filter--then it might be best to insert it as-is into a temporary table and then run a query that puts it into the real table in the right format.
INSERT INTO realTable ( datefield )
SELECT CONVERT( DATETIME, LEFT(df,2) + '/' + SUBSTRING(df,3,2) + '/' + RIGHT(df,4), 101 )
By the way: Moderator, this belongs in the "Other database" forum.