Magnetic field generation in the underdense plasma due to the nonlinear interaction of an electromagnetic wave and a plasma is investigated. It is shown that the collisional absorption of the electromagnetic wave induces a nonlinear anistropy in the electron pressure tensor, which is responsible for a large source of the dc magnetic field. Six different regimes of interest appear, depending on four characteristic parameters related to the collision rate, the thermal effects, hydrodynamic convection, and the duration of the experiment. The theory is supported by a detailed comparison with recent microwave plasma experiments.