Note: IIS version 4 and up support customizable error messages.Customizing 404 errors in IIS is surprisingly easy if you have access to the server. Go into Properties for the WWW service. Go to the Custom Errors tab. Find the listing for 404 and replace the default document with your own creation. That's all!
If you're using an ISP running IIS, you'll have to ask them to change this information for you. Just send them the URL of your 404 page, and ask them to set it as your custom 404 handler.
Got that from here: [plinko.net...]
If replacing with a custom 404 ASP script (not just HTML), be sure not to use the browse feature in MMC to select the script, but rather use the URL option (i.e. '/asp/404error.asp'). The browse feature causes the [asp] document to be returned directly to the client, rather than the server processing the script. (I learned that the hard way...so did my host provider).