To set up a custom Date Format:
1. Go to Settings > General
2. Scroll down until you see Date Format section
3. Use one of the Date Format provided bellow:
F j, Y g:i a - November 6, 2010 12:50 am F j, Y - November 6, 2010 F, Y - November, 2010 g:i a - 12:50 am g:i:s a - 12:50:48 am l, F jS, Y - Saturday, November 6th, 2010 M j, Y @ G:i - Nov 6, 2010 @ 0:50 Y/m/d \a\t g:i A - 2010/11/06 at 12:50 AM Y/m/d \a\t g:ia - 2010/11/06 at 12:50am Y/m/d g:i:s A - 2010/11/06 12:50:48 AM Y/m/d - 2010/11/06
4. Save Settings.
NOTE: For more details about Date Format please see the WordPress Codex.