You have 2 options for setting a custom error page.
Use the "error pages" icon in cPanel
Option 2 (manual)
To accomplish this, create a file called .htaccess in the same directory as the script. The filename must be exact and most text editors will allow you to save a file with this filename. If you already have a .htaccess file, you can edit it. Either way, add the line:
ErrorDocument 404 /my_404.html
The URL is relative to your website root (for instance my example would display http://www.my-domain.com/my_404.html. You can replace 404 with whatever HTTP status code you want to display the custom error page for.