First of all,you have to find a host that supports .htaccess. Paid hosts are most likely to have this feature enabled, but the only free hosts that support it as far as I'm concerned, are: Portland, Fragism. The host must give you access to FTP as well, because if you upload the .htaccess file by browser, it's not very likely to work. Portland and Fragism give you FTP access, so they're nice free hosts if you want to create custom 404 pages. You DON'T need to have your own domain to do that.

After finding a host that fits your needs, you need to create a file called .htaccess. Use a text editor, such as Windows Notepad, and paste the following line without writing anything else in the file(without the colors, which are here to help you, obviously!):

ErrorDocument 404 http://www.yourdomain.com/errorpage.html

Replace the "www.yourdomain.com" with your own domain or subdomain or subdirectory and the "errorpage.html" with the page you want the visitors to get redirected to. Then save the file as .htaccess(note the dot at the front).Most likely, you'll have to name it .htaccess.txt, but you can rename it later using the FTP.

Now,you have to create you error page. It is just a simple HTML document.It should contain a small message -"we apologize for the inconvenience" and other advanced stuff don't seem to keep visitors on your site. Trust me, I've tried and lost them everytime. Quickly give them a sitemap or suggest that they search your site. You should always enable visitors to search through your site anyway.

On to Part 2: Uploading the files and common errors

This article has two parts
PART 1: Checking and creating
PART 2: Uploading the files and common errors