You just need to make a file called 404.shtml and upload it to your main area, it should be okay then afaik... its just basic html afaik... heres what I have in my 404 if you want to mess about or whatever:
code:
<html>
<Head>
<LINK REL=stylesheet HREF="http://www.skarz.co.uk/style.css" TYPE="text/css">
<title>Error 404</title>
</head>
<body background="http://www.skarz.co.uk/images/back_main.gif" text="white">
<center>
<img src="http://www.skarz.co.uk/mainlogo.jpg" alt="mainlogo" border="0"><br></center>
<br>
<font size=5 color=white>Error 404</font></b></p><font size=2 color=white>
The page you are requesting cannot be found. Type in the right address fool.... otherwise you're not going to get anywhere are you!!!!!!!</font><br>
<br>
<a href="http://www.skarz.co.uk" target="_self">Click here to go back to the main site</a>
<br>
<br>
<br><font size=1 color=white>
<i>Referring url: <!--#echo var="HTTP_REFERER" --><br>
IP: <!--#echo var="REMOTE_ADDR" --><br>
Requested URL: <!--#echo var="REQUEST_URI" --><br>
Browser: <!--#echo var="HTTP_USER_AGENT" --></i></font>
</body>
</html>