This is a regional setting. In Windows 7 you can edit in Control Panel > Clock, Language and Region > Region and Language. On the formats tab, hit the Advanced button and look under date.
Off the top off my head, I don't know of any way to pragmatically change this, but if you set it in control panel your app will then use it so long as you don't change the culture.
That said, you really need to go beat whoever is supplying you with this data with a heavy object. We should have eliminated this type of Y2K nonsense 12 years ago.
edit - dan04's comment link also has some options.
