You can change where the link goes by editing in the Message Catalog.
  1. Go to Setup and Select Product Configuration.
  2. Select Message Catalog Editor tab.
  3. Search for "What's this".
  4. Select Edit Custom on cons:
    remember_me_prompt_link_text
  5. Insert the information in this format: <a title=" " href=" " target="_blank" >What's this?</a>
  6. href will be where the link goes and title will be what it says when you scroll over.