Or, if you want to remove the dashes as well:
DECLARE @BackupFileName varchar(100)
SET @BackupFileName = 'C:\temp\TestDB_' + REPLACE(REPLACE(REPLACE(CONVERT(varchar,GETDATE(), 20),'-',''),':',''),' ','') + '.BAK'
BACKUP DATABASE TestDB
TO <A href="mailtoISK=@BackupFileName">DISK=@BackupFileName