Since the footer appears on all pages, the markup (html and controls) representing the footer lives on a single master page. If you want to modify either the color or the background image of the footer, you can use the dynamic configuration settings described. If you want to change the footer in some other way, perhaps by adding a link, then begin by finding the master.Master file in your theme.
For the default theme, the master.Master file is located in the Themes\[default]\Common folder. Near the end of the file (before the </form> element) you should see a section representing the footer. This section is where the Copyright and Powered By logo are specified and where you can add custom text, a link or any other markup.
For the default theme, you need to modify this region of the file (as demonstrated below) and save the file.
<div id="CommonFooter">
<div class="Common">
<asp:ContentPlaceHolder id="BodyFooterRegion" runat="server" >
...
<a href="[url goes here]" target="_blank">[text goes here]</a>
...
</asp:ContentPlaceHolder>
</div>
</div>