The scale of the x-axis depends on the Lag Size, Number of Lags, and the size of the window.
You can always export the points in the semivariogram as a dbase file and open it in Excel, then you can scale it however you want. For version 10, as shown in the attached picture, you can export the binned values (red dots), the averaged values (blue crosses), and the model (coordinates of the blue semivariogram curve). For 9.3.1, you can right-click the semivariogram and save the values (red dots) and the model (blue semivariogram curve).
If you absolutely need the screenshot from the Geostatistical Wizard, you can manipulate it to give round numbers, but keep in mind that this manipulation will change the model, so be careful. To do this for ArcGIS 10, set the Lag Size to a round number (like 10000), and set the Number of Lags to 11. Then play with the window size until the numbers are round. For 9.3.1, use a round number for the Lag Size, and set Number of Lags to either 8 or 16, and the scale should be round.
