Very simple error page to help everyone get started.
Open apache configuration file httpd.conf probably at your "conf" directory in your Apache folder.
Search the line "ErrorDocument 404 /missing.html"
Change it as "ErrorDocument 404 /missing.php"
Create a new php page in your "htdocs" folder. Name it missing.php.
Put the code inside:
echo "<p>Page you are looking is not found :)";
You are all set! When a page is not found, you will be directed to this page which will automatically take you back in 2 seconds.