It's not entirely clear what you're trying to achieve here, (especially with a and i being identical. Presumably the msgbox is only actually in there to prove you've created the array correctly and will be removed later?
That said, as everyone is pointing out, you're incrementing your pointer before displaying the entry. The simplest way to fix that is to put the display line in immediately after creating the element.
I've also formatted i in order to produce the exact output you've requested.
Also, I suspect your array only needs to go 0 To 23 if this is some kind of time selector?
So, fixing your issue looks like:
Dim i As Integer
i = 0
Dim sampleArr(0 To 23) As Variant
Dim a As Integer
a = 0
Do Until i > 23
sampleArr(a) = Format(i, "00") & ":00:00"
MsgBox sampleArr(a)
a = a + 1
i = i + 1
Loop
However, you could just do the following:
Dim i As Integer
Dim sampleArr(0 To 23) As Variant
For i = 0 To 23
sampleArr(a) = Format(i, "00") & ":00:00"
MsgBox sampleArr(a)
Next
Beyond this, if you want to store the values in the array as TIME rather than a text representation of the time (useful for calculations etc.) then replace the sampleArr line with
sampleArr(a) = TimeSerial(i, 0, 0)