You don't need to create a Custom Sort for this... It's built in.
On the web page Andreas pointed you to expand the Sort by a custom list topic which will guide you through what you see in this screen shot: By Month in either A=Z or Z-A order:
However, it depends to some extent on how your data is stored. The Day, Month & Year are individual data items, so if all 3 are jammed into a single cell it can make it more complicated to sort based on multiple criteria, especially if the records span more than one year.