Your question is a little vague. But there are a couple of things you can do.
For style changes EE-Garage's override.css would be a good starting point:
You can also create your own by making a folder inside '/themes/cp_themes/'
So you'd have '/themes/cp_themes/yourcustomthemename'
Inside this folder you make duplicates of the existing system files you want to make changes to.
So for example if you wanted to make changes to:
you would make your own version inside your custom theme folder:
You can also change files within the '/system/expressionengine/views/' folder.
for example if you wanted to change:
'/system/expressionengine/views/_shared/footer.php' (the control panel footer)
you can make a folder in your own theme folder:
You only need to make copies of the files you wish to change as expressionengine
will 'fall back' to the default where it can't find the file in your custom theme.
Finally, most importantly, to get this to work you need to set your custom theme in the control panel:
Log in to the CP > Admin > General Configuration > Default Control Panel Theme > choose your theme from the dropdown box