to create a simple 404 page, you need to do 2 things:
Part 1:
You'll need an .htaccess file which will instruct the server on what to do if a page doesn't exist...
Open a new text document, inside paste this line:
ErrorDocument 404 /404.html
Save the file as ".htaccess" (no quotes)
You may have to set your computer to show hidden files, the alternative is to save it as "1.htaccess", then when you upload it, rename it to ".htaccess".
If you have an existing .htaccess file, then just add that line to it.
Part 2: Create the actual 404.html page
again, you can open a new text document, paste the following code:
<html>
<head>
<title>page doesn't exist</title>
</head>
<body>
that page doesn't exist<br>
please go back to what you were doing<br>
<a href="index.php">HERE</a>.
</body>
</html>
save it as 404.html
replace the "index.php" with the page you would like them to return to, (usually index.html or index.php)
you can also replace any of the other text in that page to your liking.
NOTE: this is the simplest, if you would like to make a better one, try googling "create a 404 page"
