Note: IIS version 4 and up support customizable error messages.

Customizing 404 errors in IIS is 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.

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.