Hi Marcelo11756
Can you please give me a bit more insight into what you are trying to achieve? Do you mean the DatePicker object or just a standard dropdown object?
You might be able use a DateFunction action which assigns the formatting to an Action Result and then enter that into a field. You won't be able to enter it into a DatePicker as it deems it an invalid format. The below image is how I configured the Date Function when testing to get the Monday 12/01/2014 format. Please note I chose to represent this as day/month/year so you may wish to change that to swap day and month around.
Let me know what your end goal is we can go from there.
Jeff