[Joomla 1.5+] Starting with Joomla 1.5 and its move to Internationalization and full support of UTF-8, the messages for footer.php and other Joomla pages has been moved to a language specific file. For footer.php, its messages are now in the language (British English) specific file language/en-GB/en-GB.mod_footer.ini. So edit or create the language specific file with you changes and remember that you may not remove copyright and license information from the source code.
[Joomla 1.4] Yes. You may remove that message, which is in footer.php. You may however not remove copyright and license information from the source code.