Starting with Joomla 1.5 and its move to Internationalization and full support of UTF-8, messages for footer.php and other Joomla pages has been moved to a language specific file.
If you want to change the text, go to the language directory, go to the folder of the language you want to change, find the mod_footer.ini file and change the relevant text. For British English, the specific file is language/en-GB/en-GB.mod_footer.ini. Remember that you may not remove copyright and license information from the source code.
If you want to remove the footer entirely, go to Extensions > Module Manager and unpublish the footer module.
Other places where can look for options to make changes are these. If you find code related to footers in these files, you can either "comment it out" or remove it:
Yes. You may remove that message, which is in footer.php. You may however not remove copyright and license information from the source code.