Stop doing that! Why use a DateTimePicker that returns a DateTime directly, and then rely on the user-dependant string it generates?
And never concatenate strings to form an SQL command - use parameterised queries instead. Concatenation can leave you wide open to SQL Injection which can damage or destroy your database - not in this case, but it's a good principle to use parameters at all times. In this case, you problem will go away as well:
SqlCommand cmd = new SqlCommand("INSERT INTO MyTable (myDateColumn) VALUES (@DT)", con);
cmd.Parameters.AddWithValue("@DT", MyDateTimePicker.Value);