For .Net <= 4.0 Use the TimeSpan class.
TimeSpan t = TimeSpan.FromSeconds( secs );
string answer = string.Format("{0:D2}h:{1:D2}m:{2:D2}s:{3:D3}ms",
t.Hours,
t.Minutes,
t.Seconds,
t.Milliseconds);
(As noted by Inder Kumar Rathore) For .NET > 4.0 you can use
TimeSpan time = TimeSpan.FromSeconds(seconds);
//here backslash is must to tell that colon is
//not the part of format, it just a character that we want in output
string str = time .ToString(@"hh\:mm\:ss\:fff");
(From Nick Molyneux) Ensure that seconds is less than TimeSpan.MaxValue.TotalSeconds
to avoid an exception.