A 404-page is a page that shows up when the webserver cannot find a file. Here is how you can configure this message yourself.
Create a file named ".htaccess" at the root of your web hotel. Add the following command in the file:
ErrorDocument 404 /error.html
It isn't necessary to name the 404-file error.html, but it should be a static page, not a dynamic one (PHP f.ex).
This setting will also apply to subdirectories of the directory where the .htaccess file is placed.