If your hosts accepts .htaccess, enter this in Notepad:

ErrorDocument 404 / 404.html

Then save it as .htaccess and upload it to your main folder of your site + the 404 HTML page you created.

Whenever someone clicks on a non-existing link, you'll get that page.

Speaking of 404 Errors... I still have to configure mine at FFI. It won't accept htaccess, so I'll have to contact my host. XD