There are two options,
OPTION 1:
In cpanel click on "Error Pages" and then select the type of error and create a page in their editor.

OPTION2:
Make a .htaccess file. Put this inside:
Code:
ErrorDocument 404 /404.php
(.php can be .html or anything else)

2. Now make a file called 404.php (or .html if you changed it). In this file put whatever you want the 404 page to be, normally this would look exactly like your design and have a user friendly message.

3. Now upload 404.php and .htaccess to the main part of your directory.

Now you have a custom 404 page. You can also do this with other errors by changing the number to 500 (script config error), 403 access not allowed). And things of that sort.