You can set that from Windows or BIOS. Doing it within Windows is easier. Just right click on the time in the task bar and select "Adjust Date/Time" and set it correctly. This is how it is in XP. If you're running Windows 7 or Vista, click on the Date and Time on the extreme right of the task bar. Click Change Date and Time settings.
Now, if you set the date and time and when you power off and power your system back on and see that the date and time has reset itself, it sounds like you have a dead battery in your motherboard, so you'll have to either keep the system powered on all the time or else, open up your computer and replace the battery.