I just tried both MDY, DMY again, but no luck
I am using office 2010
Excuse me for interjecting. BTW, I am using Office 2007
I typed in numbers 41060 thru 41065 in a column.
In the next column, I chose custom format "mm/dd/yy" for the first three rows, and custom format "dd/mm/yy" for the next three rows.
In the column after that, I chose the Excel standard date format option "dd-mmm-yy"
I copied the six numbers from the first column, into the corresponding rows in the next two columns.
Here is what I see.
<TABLE style="WIDTH: 147pt; BORDER-COLLAPSE: collapse" cellSpacing=0 cellPadding=0 width=196 border=0><COLGROUP><COL style="WIDTH: 48pt" span=2 width=64><COL style="WIDTH: 51pt; mso-width-source: userset; mso-width-alt: 2486" width=68><TBODY><TR style="HEIGHT: 12.75pt" height=17><TD class=xl64 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; WIDTH: 48pt; BORDER-BOTTOM: #d4d0c8; HEIGHT: 12.75pt; BACKGROUND-COLOR: transparent" align=right width=64 height=17>
41060</TD><TD class=xl67 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; WIDTH: 48pt; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right width=64>
05/31/12</TD><TD class=xl69 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; WIDTH: 51pt; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right width=68>
31-May-12</TD></TR><TR style="HEIGHT: 12.75pt" height=17><TD class=xl64 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; HEIGHT: 12.75pt; BACKGROUND-COLOR: transparent" align=right height=17>
41061</TD><TD class=xl67 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
06/01/12</TD><TD class=xl69 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
1-Jun-12</TD></TR><TR style="HEIGHT: 12.75pt" height=17><TD class=xl64 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; HEIGHT: 12.75pt; BACKGROUND-COLOR: transparent" align=right height=17>
41062</TD><TD class=xl67 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
06/02/12</TD><TD class=xl69 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
2-Jun-12</TD></TR><TR style="HEIGHT: 12.75pt" height=17><TD class=xl65 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; HEIGHT: 12.75pt; BACKGROUND-COLOR: transparent" align=right height=17>
41063</TD><TD class=xl66 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
03/06/12</TD><TD class=xl68 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
3-Jun-12</TD></TR><TR style="HEIGHT: 12.75pt" height=17><TD class=xl65 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; HEIGHT: 12.75pt; BACKGROUND-COLOR: transparent" align=right height=17>
41064</TD><TD class=xl66 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
04/06/12</TD><TD class=xl68 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
4-Jun-12</TD></TR><TR style="HEIGHT: 12.75pt" height=17><TD class=xl65 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; HEIGHT: 12.75pt; BACKGROUND-COLOR: transparent" align=right height=17>
41065</TD><TD class=xl66 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
05/06/12</TD><TD class=xl68 style="BORDER-RIGHT: #d4d0c8; BORDER-TOP: #d4d0c8; BORDER-LEFT: #d4d0c8; BORDER-BOTTOM: #d4d0c8; BACKGROUND-COLOR: transparent" align=right>
5-Jun-12</TD></TR></TBODY></TABLE>
This may not directly answer your question, but might clarify things. I hope.