You would need to implement all of the following theme functions in your template.php( located within your theme folder, usually found at: sites/all/themes/*yourtheme*) :
theme_pager() – main theming function, using:
theme_pager_first()
theme_pager_previous()
theme_pager_next()
theme_pager_last()
Changing ‘theme’ in each of these function names to the short name of your theme.