There are two main styles of error messages you may encounter. The first is the standard form, which looks something like:

File Not found
The requested URL your_domain/filename.html was not found on this server.

The second type comes in a variety of forms, but is customized by the webmaster. For example:

Sorry
We're sorry, but the requested URL does not exist. Please e-mail support@your_domain.com if you need further assistance.

Such messages are called error documents, and are web pages designed to give a polite explanation for error conditions. These error conditions generate numbers which are used to refer to the appropriate error condition. Some of the most common messages are as follows:

Error in Client

400 Bad syntax
401 Unauthorized
402 Not Used (Payment Granted)
403 Forbidden
404 Not Found  - This is the most common error found.

Error in Server

500 Internal Error
501 Not Implemented
502 Overloaded
503 Gateway Timeout

How do I customize error messages?

First, create the HTML page you want to use as your error message and upload it to your /www directory.

Next, go into your '.htaccess' file (or create one) and add lines which specify the substitution.
Here are three examples of specifying error documents which will be called for a given error condition (note you can use relative or absolute addressing):

ErrorDocument 401 http://your_domain.com/nopasswd.html
ErrorDocument 403 /forbidden.html
ErrorDocument 404 http://www.your_domain.com/nofile.html

Mime Types

You can add mime types to your '.htaccess' file with a line like:

AddType text/html .txt