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Create a file named exactly ".htaccess" put it in the directory at the root of your web section (depends on your setup - but the same place as index.html)
With contents of
ErrorDocument 404 /404.html
Where 404.html is your error page also in the root of your web directory.
This will affect every directory below this directory. To customise each directory individually create other .htaccess files with "ErrorDocument 404 /subdirname/404.html" and place them in the subdir.
If you need some more complex behaviour search for ".htaccess 404" in site search - some good stuff comes up :)
Good luck
Gethan