SQL Server: You can prefix any query with
SET DATEFORMAT MDY;
SQL Server accepts MDY, DMY, YMD (and even YDM though why I dunno).
Note that you only need to do this once per open connection, so if you execute multiple queries on the same connection, you only need this once. But it won't hurt to do it with each query. You can also change the installation default, but I dunno if you can change the default on a per-user basis.
Might I suggest you find a calendar control that isn't so braindead that it can't allow you to choose your preferred format? If you are talking about a "popup" or "popon" calendar written mostly in JavaScript, I've got one that not only allows you to specify the date format but even allows you to specify which day of the week to start on. 100% HTML and
JS, no ASP.NET code needed/wanted.