I have a (messy) solution to my problem now. Since others outside the US are having the same issue, I thought I'd post this workaround. If anyone has an easier solution, I'd be grateful!
I'm using Excel 2003, which is an old version, I know - it may be easier in later versions.
1. Download the CSV file from Marketplace and open in Excel. This will give you columns A to L (Date, Order #, SKU, Item, Order Item ID,Buyer, Recipient, Price, State, Commission, Distributions, Net amount). Column A has the date in the format 05/22/2011 17:50
2. Select the date/times in column A, and tell Excel this is US format by clicking on Format then Cells, go to Special, go to Custom, and enter mm/dd/yyyy hh:mm in the format box (it's not one of the available options if your locale is set to anything other than US, so you have to enter it manually).
3. We're going to create two new columns, M and N, which will have a date and a time in. To do this, select the block of date/times in column A, click on Data, then Text to Columns.
4. This brings up a window showing the data and asking if it's delimited or fixed width. Choose delimited, then click Next.
5. Now you're asked for delimiters. Tick "space". The display then shows a line separating your dates and times. Click Next.
6. The first column is highlighed in this window - and that column now just shows a date in US format, and the column data format radio button has "General" highlighted. Select "date" instead, and choose "MDY" from the drop-down box to tell it that it's currently in that format.
7. The box labelled "Destination" currently says $A$2. Change this to $M$2, then click Finish.
8. You now have two extra columns, M and N. M is the date (now in non-US format), N is the time. Excel actually holds these as numbers internally, M being a largeish integer (the number of days since a certain date), and N being a float less than 1 (0.5 means 12:00, for instance). So to merge these two columns back into a date/time field, we add them together. Go to cell A2 (since row 1 is the header row with descriptions rather than data) and type in the formula =M2+N2
9. You'll see it change straight back to something like 05/22/2011 17:50 again (just as it was in the first place) but with a subtle difference - it's right justified rather than left justified. Yup, Excel now knows it's a date/time and NOT a piece of text. Copy this formula down to the other cells (I just select the cell and drag the bottom right hand corner down over all the entries in column A).
10. Now we've converted everything in column A to a proper date, just select all the entries in column A, and click on Format and Cells again, choose custom as before, and this time select the date format as dd/mm/yyyy hh:mm, and all your dates will change to non-US format.
11. Finally - although this spreadsheet *looks* OK, column A contains formulae, not data - so fix that by selecting everything in column A, then Edit and Copy, then choose Paste Special, and select "values" to paste just the values and not the formulae back into column A.
12. Now you can safely delete columns M and N, to make your spreadsheet look just like it did in the good old days before this release when you downloaded your transactions