I'm not sure you can change it.

But you can intercept that keystroke and do what you want.

You could add a couple of routines to your personal.xls (or any workbook that
opens when excel starts):

Option Explicit
Sub myDateFormat()
   Selection.NumberFormat = "mm/dd/yyyy"
End Sub
Sub auto_close()
   Application.OnKey "^#"
End Sub
Sub auto_open()
   Application.OnKey "^#", "myDateFormat"
End Sub

If you're new to macros, you may want to read David McRitchie's intro at:
http://www.mvps.org/dmcritchie/excel/getstarted.htm