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P.S. I just wanted to add that the only time this would be a problem is if you got a 200 code every time you type in a page that didnt exist. But, as long as it shows up a 404 code for the pages that don't exist and still shows your custom error page, you will be OK.
There must be something wrong, the only thing I can think of is to redo the process I said earlier. Maybe it just didnt take right? Also my error page is named 404error.html and I am using deluxe hosting. Thats all I can think of right now.
Let me know...
HTTP/1.1 200 OK
Last-Modified: Wed, 14 Dec 2011 15:58:30 GMT
Date: Fri, 16 Dec 2011 01:45:02 GMT
HTTP/1.1 404 Not Found
Date: Thu, 15 Dec 2011 19:42:33 GMT
Keep-Alive: timeout=15, max=100
I have not modified any of those files. That information also you just posted sounds like you are in a Windows based server and not Linux and it could be causing the problem.
I also just tried other sites that have custom 404 pages hosted with godaddy with Linux hosting and they all got the same 404 return code.