Create a file called missing.html with a link to the main page. It's just a regular web page you can make in DreamWeaver or such.
I'd recommend against an automatic redirect in case it's a real not found, but you can add the following in missing.html to redirect after some time:
<meta http-equiv="refresh" content="5;url=http://example.com/"/>
This will send the user to your main site after 5 seconds. Add it near the top of your file inside the head tags.