Do you mean like when you click the link in the footer? or when you are inside the Control Panels?
If it is the former then you can simple edit the footer template. (AdminCP > Styles & Templates > Style Manager > Common Templates)
Edit the footer template, look for the following and add the bit in red:
Code:
<if condition="$show['admincplink']">
<a href="$admincpdir/index.php$session[sessionurl_q]" target="_blank">
$vbphrase[admin]
</a>
-</if>
<if condition="$show['modcplink']">
<a href="$modcpdir/index.php$session[sessionurl_q]" target="_blank">
$vbphrase[mod]
</a>
-</if>