As far as I know you can't do this with string.Format ... you would have to handle this yourself. You could just strip out all non-numeric characters and then do something like:
string.Format("({0}) {1}-{2}",
phoneNumber.Substring(0, 3),
phoneNumber.Substring(3, 3),
phoneNumber.Substring(6));
This assumes the data has been entered correctly, which you could use regular expressions to validate.