There ain't but three ways a time will be shown as 400 or 0400 or 2300 or whatever military time you are looking at.
One way is that you have an explicit format string that omits the colons for you when you display it.
The other way is that the time 0400 was stored in an integer or long field, in which case your data storage format doesn't directly support the output format you were trying to use. This is what Friday was telling you.
The third way is that the time was stored as a string "0400", but that is unlikely, 'cause Access wouldn't have dropped that leading zero in that case and you wouldn't be complaining.
Case 1, find the format string and modify it.
Case 2, fix the design of your table to store time in a date field, not an integer or long field. Then apply the format string suggested by yhgtbfk.
I doubt it is case 3.