IIS6.0: Web Site ->Properties->Custom Errors. choose HTTP Error 404 and click Edit button, or double click, Edit Custom Error Properties for Error code 404, select "Messag type" and type in the destination File or URL.
IIS7.0: Web Site Home under IIS section, double click "Error Pages" icon, double click "Status Code 404", there are three options: 1). Insert content from static file into the error response", or 2). Execute a URL on this site, or 3). Respond with a 302 redirect.