In Excel 2003, on the Data Validation dialog box, there's an option for Time, which you can then refine (if you want) by setting upper and lower limits.
You can also specify an appropriate Input Message, and a separate Error Alert message.
BUT, this won't actually control the format as such.
Users will still be able to enter a value between the specified limits, and format it as something else (for example currency).
To stop this, you'll want to format the cell as time, and consider protecting the worksheet to prevent changes to formats.