A 404 page is what a user sees when they try to reach a non-existent page on your site (because they’ve clicked on a broken link, the page has been deleted, or they’ve mistyped a URL).
To set up 404.html page on your server add this to the .htaccess file:
ErrorDocument 404 http://www.domain.com/404page.html
Thats it !
For more detailed instructions please look following article.