How can I customize the apache message which displayed when the page not found.

Are you using a control panel?

Do you mean server-wide?

If your using CPanel you can do this for each domain in the control panel GUI.

Yes, it's a simple matter of setting the Error document and then ensuring that every host, virtual or othersize, and the proper document.

For example, with my setup I have ErrorDocument set thusly:
ErrorDocument 404 /http/404.php

And then I ensure that every virtual host has the proper directory/document structure.

As for setting this up with Control Panels I have no idea.

ErrorDocument 404 /http/404.php where should I put this line .

In the Apache config file, usually <apache install dir>/conf/httpd

Here's the reference page in the Apache documentation: http://httpd.apache.org/docs/mod/core.html#errordocument