I don't think you can do it like that. MySQL stores the date in the standard (ISO) format yyyy-mm-dd. You don't have any options to change it (at least, that was always my understanding).
As has been previously stated, your best bet is to convert on entry/retreival by using DATE_FORMAT⁠(⁠).

2 links for you...
http://dev.mysql.com/doc/refman/5.0/...functions.html
http://safari.oreilly.com/059652708X...X_CHP_6_SECT_3