Change Date/Time format in the Screen Shot filename?

It's using the system's standard date/time display format which you can customise in the 'Formats' tab in System Preferences → Language&Text

Or, it might be quicker to just change the time display of the clock to 24-hours mode: System Preferences → Date & Time

(I have OS X 10.7.5, so it may be organised/worded slightly differently in newer OS X versions.)

I've found the most minimal solution (on macOS 10.14.3) to be:

System Preferences → Language & Region, then click Advanced..., choose the Times tab and for the Medium format click the hour dropdown and switch it from 1-12 to 00-23 and delete the AM/PM element: