Hi Aykut,
I fear you may be out of luck since as far as I know the Format16bppGrayScale mode is broken, and won't be fixed in Framework 2.0 either. Most likely you will need to convert the data to 8 bit indexed bitmap and fill the palette with grayscale values.
This thread discusses displaying 16bit grayscale using a Windows Bitmap object (GDI, but the GDI+ is closely related). Although the conversion is from 16 bit to 8 bit, the principles are the same as for 12 -> 8, depending.
http://www.asmail.be/msg0055114987.html

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Happy coding!
Morten Wennevik [C# MVP]