It will open your logo image in the browser window where you can get its location like/skin/frontend/default/theme###/images/logo.png where theme### is the unique name of the theme and logo.png is the name of the logo image.
Connect to FTP and look for the logo image to replace it. You will need to upload a new logo.png file to the same location and replace the old one with it. If you want to use a different file name/extension, you can change it in your Magento admin panel under the menu System -> Configuration -> Design -> Header
