Yes you can. It’s not on the Time control panel, it’s on the Regional Options. You’ll have to make a custom region that uses 24h time. The time format should be “H:mm:ss” instead of “h:mm:ss”.
With Windows 10 it’s a bit different, you can go to the time settings via clicking on the clock, then into date & time formats. Once you’ve done that you can change the formats to HH:mm (uppercase important) under short & long. It’s a new menu and a bit easier to get into, but similar to older versions of Windows as per the other answers.
Double click on clock in System tray, in the box that opens click on Region and Language, then at bottom open Additional Date and Time Settings under heading Regional Settings. OR open Control Panel and navigate to Clock, Language and Region
Next open Change Date, Time or Number formats
Click on arrow at end of Short Time format (h:mm) and select option HH:mm
Click on arrow at end of Long Time (h:mm:ss) and select option HH:mm;ss
Click on Apply and close Control Panel