UPDATE MyTable SET MyField = Replace([MyField], " ", "_")
will replace all blanks in the field MyField with underscores, whereas
UPDATE MyTable SET MyField = Replace([MyField], " ", "")
will simply remove all the blanks from the field.
To do this through the graphical query builder, create an Update query as
normal, and put
Replace([MyFIeld], " ", "_")
in the "Update To:" row in the MyField column.