Make sure that your field is of type Time or Timestamp and not text.
Im not to sure how to do that. Should I just remove the AM and PM and just leave the numbers? If so I've done that and the sorting issue isn't resolved.
Open Manage | database | Fields from the File Menu.
Find your field's definition. I suspect that you'll see "text" listed as it's field type.
Change the type to time and click Change, then click OK to exit Manage | Database so you can check and see if that works for you.
Please note that if you have time entered as text with an invalid time format, you may need to fix the data in those records after making this change.