He realises he's in love with her at the end pf Pheromone, My Lovely, and IIRC their first [unfortunate] date is in Fly Hard.
Julie
Mulder: Imagine if you could come back and take out five people who had caused you to suffer. Who would they be? Scully: I only get five? Mulder: I remembered your birthday this year, didn't I, Scully?
