If I add the file .htaccess in my web directory (www) and in it put 404 Error/404.html then have 404.html my file I want to be displayed for the incorrect file directory it should show my custom error message right? I tried it and to no avail it did not work :/

The correct syntax is:
[code]ErrorDocument 404 /path/to/whatever.html[/code]

If you just want to display a message, you can do this:
[code]ErrorDocument 404 "Some message here"[/code]

yea what that "thing" said.. its a THIGN omfg a THING its a THING with that THING on his head omfg ITS "IT" THE KILLER CLOWN!

Someones created a monster. Put him down quick.

Also in your Advanced Internet Options (If using IE) you need to disable the 'Show Friendly HTTP Error Messages'.