I'm guessing you want to change the text that says "Proudly powered by WordPress"? If you want to change it to a copyright message, here's an example. Open your footer.php add the following code right above the </footer> tag.
Code:
<div id="site-generator">
<?php do_action( 'twentyeleven_credits' ); ?>
<a href="<?php echo esc_url( __( 'yourwebsiteurl', 'twentyeleven' ) ); ?>" title="<?php esc_attr_e( 'All Rights Reserved', 'twentyeleven' ); ?>" rel="generator">
<?php printf( __( 'Copyright © 2012 Your Name', 'twentyeleven' ), 'WordPress' ); ?></a>
</div>
Replace with your website url, your name and change all of the 'twentyeleven' in the above code to the name of your theme folder.
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