Use wchar_t instead bcos your application is not a unicode application.

Code:
SYSTEMTIME SysTime;
GetLocalTime(&SysTime);
wchar_t filename[200];
memset(filename,0,sizeof(filename));
wsprintfW(filename,L"screen%02d:%02d:%02d h.jpeg",SysTime.wHour,SysTime.wMinute,SysTime.wSecond);