The footer content that is shown in the orange box in the screenshot above is controlled by a Section titled "Footer". This section can be found by going to CONTENT > Sections > Footer.
It is currently set up as a 2-column section, using the Multi-Column Styles that come with this theme, with text in the left column and the newsletter sign up monklet in the right column.
When the user fills out the signup field, there existing profile (found in PEOPLE > Members) will be assigned to the "Newsletter" group. If they do not have a profile on your site yet, one will be created for them. The user will also be taken to the "/mailing-list" page to let them know that they have successfully signed up for the newsletter.
This area will display the address and phone from the default church entry, which is located here: PEOPLE > Churches