if you have cPanel then just go to 'Custom Error Pages' and then select which sort you want to create....eg, 404, 400.....it will then show you a little box where you can copy slabs of HTML into there and just click submit and your done.
Also, you may create the custom error page, save it as 404.shtml etc then upload it to your ROOT directory and that should work to
when desinging your error pages, keep in mind contingency design. dont simply state "this page doesnt exist;" provide a means for them to find what they are looking for. for more info on contingency design, view 37signals white paper on it: