Yep, you can. And it's quite easy.
Just go to /config folder, locate umbracoSettings.config in there and look for <urlReplacing> section.
Replace <char org=" ">-</char> by <char org=" ">_</char>
Make sure to republish the site so that the url's are being recalculated.
Any particular reason why you'd want to change this?
Good luck,
/Dirk
level 1 certified - umbraco blog at
netaddicts.be