Wow...what a pantload.
This is actually one of the easier things to do in IIS 5.0 and beyond (including Server 2003), as long as the webmaster knows what he/she is doing.
Here's a really good ASP Custom 404 article from the guys at 4 Guys From Rolla on how to get started with this. From there, all the guy has to do is open up the properties for the website in IIS, click the Custom Errors tab, and add the 404 page as a URL instead of the default page itself.
"Just go clickclickclickclickclickclickclickclickclick. It's real easy, man."
--Boomhauer (King of the Hill)