Create a 404 error page

1. Open a text editor (notepad in Windows) and write the following: ErrorDocument 404 /error-page.html
   Save the file as .htaccess.txt
2. Create a page which will contain your error message and save it as error-page.html
3. Upload the 2 files you have created (.htaccess.txt and error-page.html) using an FTP program (like Filezilla) to the main directory of your site.
4. Rename the file .htaccess.txt to .htaccess

Thats all. You can see an example of 404 error page here.