That is driven by settings on your Windows Control Panel, which drives the formatting of dates for most (if not all) of the Microsoft Office tools.
Go to:
Start
Settings
Control Panel
Regional Settings - choose the date tab, then choose the date format you want & click Apply & then OK.
Then in MS Project, use Tools & Options to determine the "fine-tuning" of your date format.
Hope this helps!
JanK, PMP