|You should first make sure that all your DATES are really dates, not TEXT.|
Highlight all of your DATE cells and format them as General.
They should all show as numbers similar to: 40703 which is July 6, 2011.
Excel keeps track of dates by counting the number of days since Jan 1, 1900
Once you know that all your DATE cells are really dates, then do a Custom format of: MM/YY