Under New File Name: type in 404.html then click Create New File.
Right-click on the newly created 404.html then click on Edit.
In the Text Editor pop-up, simply click on Edit.
Now you'd want to type in the HTML code for your custom 404 page, in this example we're using a very basic one that you can copy if you'd like. However you can get very fancy with your own, even going so far as to copying the style and images of your main site and placing your error message in the middle of that.
<html> <head> <title>404 Page Not Found</title> <body>
<H2>We're sorry but the page you're looking for could not be found</H2>
After you've made your edits, click on Save Changes, and you should see a green Success pop-up.
Now if you directly try to pull up /404.html in your web-browser, you should see the page we just created.