Need help building this page, but don't know what it's called.

[PowerUp]

Hi, I've come across pages that no longer exists and they have the following text politely telling the visitor "You have reached a page that no longer exists. Click here to go to our homepage." Apart from that, sometimes it also displays navigation panel.

What is this page called?
How to set this up in such a way it works like a catch-all email address?

Thanks.

[Marshall]

Sounds like a custom 404 "page not found" error page. They're much nicer than the generic ones.