How is the data entered? Is it already in the sheet, or is it yet to be entered?
What I did:
1) Format a column (Format Cells)
2) Under the Number tab, under Category, select "Custom."
3) Enter YYMM in the Type field.
4) Type in all your data in the 0001 format into the column, or else do a Paste-Special -> Values
5) Go back to that Custom format thing for the entire column or set of data.
6) Change format to MM-YYYY, and click OK.
0001 should now say "01-1900."
Alternate to step 5) :
5) Go to the Format Cells window again, but under Category, choose "Date."
6) Select a type from the list. I show one there that says March 14, 1998. If I choose that, the cell now says "January 1, 1900."