The 404 Error page is basically a page that shows up whenever someone goes to a page that isn’t available on your site.  One can get that error for a number of reasons.  The page could be missing on your server.  The site’s server could be down.  The page looks ugly and might push users away from your site. But it doesn’t have to be that way. One can actually design and customize the 404 Error page so that it keeps users on the site.  Web hosts usually give a customizable 404 page that one can edit using normal code (html, css, php, etc.)  editing programs.  The Internet Digest has some great guidelines for setting up a 404 page:

You can design your custom error page using the same editor you normally use to create your regular web pages. There are a few things you can take into account when designing your error page, to provide your visitors with the best possible user experience:

• Brand your error page with your logo and the look and feel of your site.
• Provide your visitors with a link to your main page (homepage).
• Include a link to a site map, or display links to the main sections of your site.
• Include a search box for those visitors who don’t want to take time to navigate your site to find the information they need, so they can just type-in their selected keywords, and immediately get a list of all the relevant pages within your site.

Smashing Magazine has some great examples of customized 404 Error Pages. Check ‘em out here.