1. For html type of pages, you can set up the 404 redirect from the iis. Just point the "CustomeErrors" page to the file you would like to use. But this does not work if the error page is .net related.
2. For dnn, aspx type page, you need to change web.config. Here is how you do it:
Under <configuration> <system.web>
Use the following line for <customErrors />
<customErrors defaultRedirect="yourfile.aspx" mode="On" />
You can even set up a Notification of Error to the Administrator. Please refer to this link detailed instruction.
Also read the Google guidelines on creating 404 pages.