While it is mentioned in an MS Support article regarding VS 2005 and .NET 2.0, you may be dealing with the same issue it describes:
This behavior occurs because the DateTimePicker control and the MonthCalendar control are Microsoft Windows common controls. Therefore, the operating system's user locale determines the user interface of these controls.
One way to check for this of course is to change your OS's user locale & see whether your MonthCalendar
follows the change.
I do not know of a way to work around the MonthCalendar
control's deference to the OS's user locale, but one possibility you might consider is an alternative, locale-aware calendar control.
For example, a locale-aware calendar control described on CodeProject sounds hopeful. 3rd-party (e.g. Telerik, Infragistics etcetera) calendar controls might also yield something.