You can also rename the .csv file to .txt and use file|open.
You'll be prompted to give the type of field for each column.
If you choose text, the leading 0's will be kept.
If you want to keep the value as a real number, you'll can keep the .csv (or
..txt) and give the column a nice number format:
format|cells|number tab|Custom category
00000
(for 5 digits)