Jason --
Although you cannot change the date format used for the column headers in
the My Tasks page, you CAN change how the system displays the date in any
date field, such as the Start and Finish fields. To do this, the Project
Server administrator should complete the following steps:
1. Log into PWA with administrator permissions.
2. Click the My Tasks link in the Quick Launch menu.
3. Click the Site Actions menu button (upper right corner of the page) and
select the Edit Page item on the menu.
4. In the My Tasks web part, click the Edit pick list (upper right corner
of the Web part) and select Modify Shared Web Part on the pick list.
5. In the sidepane that opens on the right, scroll to the bottom and expand
the Project Web Access section.
6. Click the Date Format pick list and select the desired date format, such
as Weekday/Date.
7. In the sidepane, click the OK button.
8. Click the Exit Edit Mode button (upper right corner of the page).
Hope this helps.