I searched, and searched for this. I never found it on Google. I figured it out, so I thought I'll share it here. Sometimes you need to change the 'Site Admin' link to something else for preferences, or if you have several users 'Site Admin' doesn't seem right.
Find this wp-includes/general-template.php file and look for this line:
$link = $before . '<a href="' . admin_url() . '">' . __('Site Admin') . '</a>' . $after;
Eidt the Site Admin text.