EDIT: A better way of doing this is to take a date/time string that has a defined and unchanging format instead of using the locale-defined ones from %date% and %time%. You can use the following to get it:
for /f "skip=1" %%x in ('wmic os get localdatetime') do if not defined mydate set mydate=%%x
It yields something like 20120730203126.530000+120 and you can use that to construct your file names.
(Old answer below)
You can simply replace the offending character with an empty string:
echo %time::=%
The syntax %var:str1=str2% takes the environment variable (or pseudo-variable in case of %TIME% and replaces str1 by str2. If nothing follows after the equals sign then str1 is simply deleted.
In your specific case I think you’d want the following:
rem cut off fractional seconds
set t=%time:~0,8%
rem replace colons with dashes
set t=%t::=-%
set FileName=Build-%date%-%t%
A more brute-force way in case you don’t know whether colons are used (but the order of the time would be the same):
set FileName=Build-%date%-%time:~0,2%-%time:~3,2%-%time:~6,2%
All preceding things, however, assume that you use standard ISO 8601 date format, i. e. 2009-10-29. I’d assume this as simply normal, but some people use other formats so be careful. But since you didn’t ask about the date I was assuming you didn’t have a problem there.