My 2 cents

If you want to handle multiple cells being pasted in

If you want to restrict to a certain column or columns, just add the ... And rCell.Column = 3 ... inside the For

Did you want to leave these as numbers so that you could use them in formulas? This just displays them as hh:mm


 
Private Sub Worksheet_Change(ByVal Target As Range)
    Dim s As String
    Dim rCell As Range
    Application.EnableEvents = False
    For Each rCell In Target.Cells
'        If rCell.Row > 1 And rCell.Column = 3 Then
        If rCell.Row > 1 Then
            If IsNumeric(rCell.Value) Then
                If rCell.Value = 0 Then
                    rCell.ClearContents
                Else
                    s = Format(rCell.Value, "0000")
                    If Len(s) = 4 Then
                        rCell.Value = "'" & Format(Left(s, 2), "00") & ":" & Format(Right(s, 2), "00")
                    End If
                End If
                
            End If
        End If
    Next
    Application.EnableEvents = True
End Sub
Paul