Usually found in your index.php file, The Loop is the "engine" which actually "runs" WP for the most part. Look for these line in the index.php file for your theme:
<?php if (have_posts()) : ?> and <?php endif; ?>
The stuff in between these lines is The Loop - that which produces the list of posts in your blog....
Now, within that section you'll find a line similar to this:
<p class="postmetadata">Posted in <?php the_category(', ') ?> <strong>|</strong> <?php edit_post_link('Edit','','<strong>|</strong>'); ?> <?php comments_popup_link('No Comments »', '1 Comment »', '% Comments »'); ?>
What I would do, were this me, is to put something like the following just BEFORE the above line: Copyright © 2005 and ff, ZAZ; all rights reserved.
You don't need to use both the word copyright and the symbol, though some people prefer to do it that way; and the "ff" is publisher shorthand for "and following" - which covers you a bit if you forget to change the year on occasion.
I'm sure someone could write a plugin to do this, and set it up to grab the current year from the server, but I'm no php/plugin wiz.... And note, please, that I'm just now doing this on my own test blog, just to make sure it works!
[[Edit, added: yes, it works just fine, and shows up on all previous posts. Looks like you'll want to style it in the CSS to be the same size as the postmetadata - or y'know, maybe it can just be entered in the same paragraph section with the postmetadata before a<br />.... hmmm. Let me try that.... Yes, that's much nicer....]]
