Since you are using amsthm, you need to redefine the \qedsymbol (in the preamble of your document if the change must apply to all the document). One option would be to use the \Squarepipe command from the marvosym package; here's a simple example:
\documentclass{article}
\usepackage{amsthm}
\usepackage{marvosym}
\renewcommand\qedsymbol{\Squarepipe}
\begin{document}
\begin{proof}test\end{proof}
\end{document}

Of course, you can define your own square; here's a comparison between the default symbol, the \Squarepipe command from marvosym and a customized \BoldSquare newly defined (you can change the values for \fboxrule and the arguments of \rule according to your needs):
\documentclass{article}
\usepackage{amsthm}
\usepackage{marvosym}
\newcommand\BoldSquare{%
\setlength\fboxrule{1.1pt}\setlength\fboxsep{0pt}\fbox{\phantom{\rule{5pt}{5pt}}}}
\begin{document}
\begin{proof}test\end{proof}
\renewcommand\qedsymbol{\Squarepipe}
\begin{proof}test\end{proof}
\renewcommand\qedsymbol{\BoldSquare}
\begin{proof}test\end{proof}
\end{document}

amsthmthe predefined symbols is precisely the one you want. – Gonzalo Medina May 22 '12 at 13:46