Obviously I don't know your specific circumstances either, but my first response was pretty much the same as MesmerLab's. That said, if you do want to go ahead, it's quite simple.
The link in question will almost certainly be in your theme's header file. Open your theme's header.php in a text editor (Notepad is good, Word is not as it will try to add formatting).
There will probably be a line near the top that looks something like this
PHP Code:
<a href="<?php bloginfo("url"); ?>/"><?php bloginfo("name"); ?></a>
This uses a couple of calls to the WordPress
bloginfo function to return the blog name (for the link text) and URL (for the link destination) and puts it all into a link.
To get the link to point somewhere else, just change the URL bit to your other site.
PHP Code:
<a href="http://www.my-other-site.com/"><?php bloginfo("name"); ?></a>
Then upload the new header.php to your template folder and you're done.