I could not find on DNNs website or on Google a way to configure custom 404 pages inside of DotNetNuke. This was a little frustrating because I just ported over my website with nearly 6000 links (according to Google) and I did not want my viewers to be sent to a page with nothing on it.
So, after thinking about it a little bit, I realized I could do this within IIS specifically for any DNN website.
Create a new web in IIS and point it to your DNN install. This new web will need to be configured with all the proper host headers (and removed from the old DNN website host header list). Once you have it up and running, create your new DNN 404 page. Make it hidden so it does not show up on your menu bar, but is accessible to your visitors.
Get the URL for this page, edit the properties for your new website, and click on the tab "Custom Errors". Find the error code 404, and set the absolute path to it (without the http and the domain name).
Test it and it works great! Example: http://www.badassride.com/thisdoesnotexist
IIS Properties:
Cons: This creates another memory instance of the worker process so it uses more memory on your server. I would recommend only doing this for your portals that request it.