Edit the index.php file in the theme you are using — *not* the idex.php file at the root of your install. For example, if you’re using a theme called Blue Waves (hypothetically speaking!) you’d go to the folder on the root called wp-contents —> themes —> bluewaves —> index.php.
Actually, if you want the links to be in the footer, as your questions states, then you’d really need to edit the footer.php file in the same theme, not the index.
Keep in mind that any time you switch themes you’ll have to re-add this information — there’s no way around it. However, if you create the links in the link manager, as a list, say, then you can call them all in with just one piece of code (as opposed to a seperate code for each link).
Post back if you have more questions.
