TheBigK - 4:01 am on Dec 12, 2012 (gmt 0)
Okay, I guess I got the concept right now.
1. Broken Link:
Page A has link to Page B but, Page B does not exist. So the server takes the user to 404 page. So the link on Page A is 'broken' link.
2. Not a Broken Link:
Page A directly links to 404.php (or the page that is meant to be a 404 page) - is not a broken link.
Thanks to everyone who replied!