You could create a missing.html file as mentioned in the Wiki.
Or you can name it anything you want and add it to the .htaccess file:
ErrorDocument 404 /your-custom-page.ext
That would come in handy if you wanted to use PHP or some other extension.
Save up to $96 at Dreamhost with ALMOST97 promo code (I get $1).
Or save $97 with THEFULL97.