How to format TimeSpan in XAML

The format string is intended to work on a DateTime, not a TimeSpan.

You could change your code to work with DateTime.Now instead. Your xaml is fine:

<TextBlock Text="{Binding MyTime,StringFormat=HH:mm}"/>

Update

And from .Net 4 format a TimeSpan as follows:

<TextBlock Text="{Binding MyTime,StringFormat=hh\\:mm}"/>

In .NET 3.5 you could use a MultiBinding instead

<TextBlock>
    <TextBlock.Text>
        <MultiBinding StringFormat="{}{0}:{1}">
            <Binding Path="MyTime.Hours"/>
            <Binding Path="MyTime.Minutes"/>
        </MultiBinding>
    </TextBlock.Text>
</TextBlock>

Update
To answer the comments.

To make sure you output 2 digits even if hours or minutes is 0-9 you can use {0:00} instead of {0}. This will make sure the output for the time 12:01 is 12:01 instead of 12:1.
If you want to output 01:01 as 1:01 use StringFormat="{}{0}:{1:00}"

And Conditional formatting can be used to remove the negative sign for minutes. Instead of {1:00} we can use {1:00;00}

<TextBlock>
    <TextBlock.Text>
        <MultiBinding StringFormat="{}{0:00}:{1:00;00}">
            <Binding Path="MyTime.Hours" />
            <Binding Path="MyTime.Minutes" />
        </MultiBinding>
    </TextBlock.Text>
</TextBlock>