Set AutoGenerateColumns property to "False" and create your own BoundColumn subcontrol to lay out your grid. This will allow you to use the DataFormatString property. Below is an example for you to review.
<asp
ataGrid id="DataGrid1" BorderColor="gray" runat="server"
AutoGenerateColumns="false" CellPadding="2" Font-Name="Arial" Font-Size="10pt"
HeaderStyle-BackColor="lightgreen"
AllowPaging="True"
PageSize="4"
PagerStyle-Mode="NumericPages"
OnPageIndexChanged="DataGrid1_PageIndexChanged">
<Columns>
<asp:BoundColumn HeaderText="Customer#" DataField="CustNum"
ItemStyle-HorizontalAlign="Center"/>
<asp:BoundColumn HeaderText="Last Name" DataField="LastName"/>
<asp:BoundColumn HeaderText="Order#" DataField="OrdNum"
ItemStyle-HorizontalAlign="Center"/>
<asp:BoundColumn HeaderText="Order Date" DataField="OrderDate"
DataFormatString="{0:MM-dd-yy}" ItemStyle-HorizontalAlign="Center"/>
<asp:BoundColumn HeaderText="Item Description" DataField="Description"/>
<asp:BoundColumn HeaderText="Quantity" DataField="LIQuantity"
ItemStyle-HorizontalAlign="Center"/>
<asp:BoundColumn HeaderText="Unit Price" DataField="Price"
DataFormatString="{0:C}" ItemStyle-HorizontalAlign="Right"/>
<asp:BoundColumn HeaderText="Ext Price" DataField="ExtPrice"
DataFormatString="{0:C}" ItemStyle-HorizontalAlign="Right"/>
</Columns>
</asp
ataGrid>