I had the same problem. This is a big problem with the control. My solution was not to bind the data to the control but handle data input myself. Basically if the date to display in the control is empty then fill the control with some default date. If it's not empty then file the control with the date. And then when the user changes the controls value store that to a memory variable and later but it in the database. Not very eloquent solution but I liked the other features of the control enought to use it.

Another problem with the control is if the user tries to enter a date with the keyboard instead of the mouse. The control is a real pain in the neck to work with becuase each part of the date is like its own control. Say you type 12 for the month the control does not move focus to the day. The user is forced to click on the day part in order to enter it with the keyboard.