404 Page Customization

I meant to include this question in my earlier post... Because I am being routed to webpages that don't exist with the link issue described in my last post, how can I customize the header on the 404 Nothing Found page and have that show if there is an error with a link? I know how to find that block when creating a new page, but how would I create that page and have it set as the default page for an incorrect URL?