This is a very large topic, and the official information on this appears in the Bookshelf under "Administration" / "User Console Design Guide."
The short answer is that if you just want a quick-and-dirty change to this page, you can edit the login.jsp in the user_console.war directory. You must recompile your jsp pages for this to take effect, and your changes will disappear when you perform the next upgrade, but that's the fastest way to make a small change.