Site administrators have permissions to do anything.
Users may be assigned the role of site administrator by another site administrator in Site administration > Users > Permissions > Site administrators, but the role itself cannot be edited (or deleted!). The primary administrator (created when the site was created) cannot be removed from the site administrator role.
It is recommended that you don't have lots of admins on your site. Good practice is to only have one or two, then give everybody else roles such as Manager, with only the permissions that they require.
If using MNet, see the section 'Assigning the role of admin'.