You can change the date format for both posts and archive links by editing your blog settings. On the Settings | Formatting page, there are fields for Date Header Format and Archive Index Date Format. Both fields include drop-down menus that list the format options for displaying dates.
Date Header Format:
(Date Headers usually go above your posts.)
Archive Index Date Format:
(The Archive Index is usually the list of archive links in your sidebar.)
Click Save Settings at the bottom of the page when you're done.