You can change the default Date formats in the Windows Control Panel.
For Windows 7 (Possibly Vista also):
Go to Start > Control Panel > Clock, Language, Region
Click 'Change keyboard or other input methods'
When the Region and Language window opens, select the appropriate date format.
If you wish to create your own custom format, click 'Additonal Settings' and select the Date tab.
Enter custom formats for Short and Long dates.
For Windows XP:
Go to Start > Control Panel
Click on Date, Time, Language, and Regional Options
Click on 'Change the format of numbers, dates, and times'.
When the Regional and Language Options window appears, click 'Customize'.
Select the Date tab and select the appropriate formats.