There is a two-fold answer to this - one for you (and others using WP 3.x themes) and those using old-school themes.
Easy one first - for old-school type themes, this is hardcoded in your comments template. Look for comments.php in your theme folder and look for the login link. Change it accordingly.
In WP3, a far simpler method for theme authors was introduced that does away with a lot of the if/then stuff you had to do for your comments template. This was all replaced by the function comment_form(). And, conveniently, there are some filters available for this.
Like the above method, look in comments.php, but this time you are looking for comment_form(). Add a filter for 'must_log_in' like this:
<?php comment_form(array('must_log_in'=>"You must be <a href='http://localhost/wp/members-area/'>logged in</a> to post a comment.")); ?>
(Change the link and text accordingly... this is just a sample)
Something else to consider: You can test this in your theme directly, but you might need to make a child theme (beyond the scope of this answer) so that you don't have to redo this every time you upgrade WordPress (if you use twenty ten) or your theme (if your theme author releases core upgrades).
Hope that helps.
(More info on the comments_form function in the codex.)