To set a custom 404 error page you must install and activate 404page – your smart custom 404 error page plugin.
First, create the page that you want to use as 404 page.
Then, simply navigate to "Appearance" > "404 Error Page" panel in your WordPress admin and set the page you just created as your "Page to be displayed as 404 page" in the plugin settings.
That's it! Simple as that. Now all error pages will display the content of this page.