It looks quite reasonable; presumably the data table is intended to have have (dateId,siteid) as primary key?
I would be inclined to use SQL date datatype, not any string like "28/10/2011", for fulldate; and make the Month and FinYear columns computed columns, not stored data, for example define month as
month = str(datepart(mm,fulldate),2)+': '+datename(mm,fulldate),
FinYear = datename(yy,dateadd(mm,-3,fulldate))+'/'+datename(yy,dateadd(mm,9,fulldate))
if those really are the formats you want.
Unless there is a very large number of rows, I would suggest not splitting out the date table - just have the full date instead of the dateid in the data table (the month and finyear columns don't use space if they are defined as computed columns); of course if you often search for a particular month or a particular financial year you might want to persist those columns so you could have indexes to make those searches efficient, and then they would take up space (both in the table itself and in those indexes), and in that case you might want to split out the date table - but even then those columns should ideally be persisted computed columns, not data entered by any other means, and rather than having an identity for the dateid column it might be sensible to make that a persisted compued column too, using something like dateid=1+datediff(dd,'1900-01-01',fulldate) ( that assumes you have no dates before 1900 - the constant date can be adjusted to fit if you do) if the number of rows in the data table is big enough to justify using a seperate dateid instead of the fulldate to save space in the data table at the expense of using extra space in the date table.