If you're working with the default theme:

Start by copying the default theme from the core to your themes directory. from: /concrete/themes/default to: /themes/default

That will overide the "default" theme without messing with the core.

Then inside of the default theme open up: /themes/default/elements/

footer.php and down at the bottom you'll see:

<div id="footer">
 <span class="powered-by"><?=t('Built with ')?> <a href="http://www.concrete5.org"><?=t('concrete5 CMS') ?></a>.</span>
                       © <?=date('Y')?> <a href="<?=DIR_REL?>/"><?=SITE?></a>.
......

Delete the line <span class="powered-by...

Now that I open up the file and take a look at it. You could alternately add this line to your css:

#footer span.powered-by { display: none; }