I tried this in Access 97 a couple years ago and could not figure out a way to get it to show that extra zero without taking drastic measures of having a text 'show' field. It was an unbound field that was programmatically linked to the bound time field.
I hope others have a better solution. The guy for whom I was doing the work decided it was fine without the extra 0. When I export this field, I make sure it shows by using right("0000" & theTime,4) before exporting it to a text file of fixed length records.