You cannot change the 'date format' of the column.
What you can do is handle the
OnCellFormatting[
^] event of your DataGridView.
What this event does is allow you to take the actual value contained by a cell and change what actually gets displayed. So if the value of a cell is 10 you can actually display "bananas", without breaking your application.
If you follow the link above, the code on that page shows how to format dates.