This is something I have used many times, and always had to look up on internet. I’m designing a new datawarehouse and have to populate my date dimension. In SQL server 2008 we have common table expressions (CTE), We can use it to run a sequence from to a date. This blog post will explain how you can generate dates: http://smehrozalam.wordpress.com/2009/06/09/t-sql-using-common-table-expressions-cte-to-generate-sequences/
You can set you regional date / time by using the Set language dutch (where dutch is your regional setting).