Custom error 404 page

Is there anyway of making a custom error 404 page? At the moment when users hit 404 they are redirected to the home page again. Anyway of redirecting them to a custom html page (which I know how to make btw)?

I have searched this before posting a new thread and there was nothing there.

When does that error appear?

I'm not sure you understand, there is no error occurring.

Say a user typed the url to a page on the forum wrong; he would get the 404 error yes?

I want to know whether I can make a custom page which the user gets when he gets a 404 error (page not found).

So I could have a page saying something like: "oops! looks like you're trying to get at something which doesn't exist"

Sorry you can't make an Error 404.