Just discovered this:
If you have XP (I don't know about precedent systems), go to control panel, then to regional options and click on Customise.
In the new opened window click on the tab Clock then Clock format.
- If you like it to make 24 hours you change the ?HH? into Capital letters.
- If you like it to make 12 hours with AM & PM you change the ?hh? into small letters.
After that you can Apply and press OK.