You need to create a custom number format. Format --> Cells, on the Number
Tab, select Custom. The select the ) Type and edit it to 000000. That will
force the leading zero to appear.
You can also start your entry with an apostrophe (e.g., '041960) and then it
will appear with the leading zero. Excel will treat cell entries with a
leading apostrophe as text rather than as a number, so keep that in mind if
you need to do any calculations with the entries.