Parse Bloomberg Excel/CSV with Pandas DataFrame
You can probably do most of what you want in native Pandas.
It has functions for excel file IO that will probably take care of much of the date-munging.

If you want to carry on with the intermediate .csv file, the following should help.

Because you have an empty column and 3 commas between EHFI38 Index BBGID and EHFI139 Index BBGID, your data are in a slightly strange format.     

import pandas as pd
from cStringIO import StringIO

data = """\
EHFI38 Index BBGID,                   , , EHFI139 Index BBGID,                   
Date              , PX_LAST           , , Date               , PX_LAST          
1999-12-31        , 100.0000          , , 1999-12-31         , 100.0000         
2000-01-31        , 100.1518          , , 2000-01-31         ,  98.6526
"""
df = pd.read_csv(StringIO(data), header=[0, 1], parse_dates=True)
df


There should be a way to sort out the strange indexing but I cannot easily work it out. Try searching for pandas multi-index and hierarchical data.