There are no built in telephone number format options for you :smileysad:
However, there are ways to do this with calculation fields. How successful this approach works depends on how uniform your data is and how many variations you are willing to allow for in your calculation.
Assuming all your phone numbers include the area code and your phone number field is named "Phone", put the following expression into a calculation field's definition:
"(" & Left(Phone,3) & " ) " & Middle(phone,4,3) & " - " & right(phone,4)
If you enter 9995554444 into your phone field, the above calculation will give you (999 ) 555 - 4444.
Even though Phone is a number field, text functions can be used that treat your number field as though it is text.
(Note: I had to add a space in front of the ) to keep out one of those pesky emoticons that can so messup expressions in this forum.)