Looking at the javadocs for SimpleDateFormat, I'm not sure if it's possible. 'Z' and 'z' are close to what you need, but not perfect. You might have to do some manual string manipulation to add the colon.
The format you're asking for looks like ISO 8601, which is what's used in XML files as the standard format for timestamps.
Unfortunately, SimpleDateFormat does not have proper support for this, and it's indeed not possible to use SimpleDateFormat to produce a string in the form that you want. One solution is to add the colon by hand.
You could have a look at Joda Time, a popular open source library for dealing with dates and times in Java, which does have proper support for ISO 8601.