<?php
$default = 'index.php';
$thisfile = 'your 404 page';
$_SERVER['ORIG_PATH_TRANSLATED'] = str_replace($thisfile, $default, $_SERVER['ORIG_PATH_TRANSLATED']);
$_SERVER['SCRIPT_FILENAME'] = str_replace($thisfile, $default, $_SERVER['SCRIPT_FILENAME']);
$_SERVER['SCRIPT_NAME'] = str_replace($thisfile, $default, $_SERVER['SCRIPT_NAME']);
$_SERVER['PHP_SELF'] = str_replace($thisfile, $default, $_SERVER['PHP_SELF']);
$_SERVER['PATH_INFO'] = false;
$qs =& $_SERVER['QUERY_STRING'];
$ru =& $_SERVER['REQUEST_URI'];
$pos = strrpos($qs, '://');
$pos = strpos($qs, '/', $pos + 4);
$_SERVER['URL'] = $ru = substr($qs, $pos);
$qs = trim(stristr($ru, '?'), '?');
// Required for WordPress 2.8+
$_SERVER['HTTP_X_ORIGINAL_URL'] = $ru;
// Fix GET vars
foreach ( $_GET as $var => $val ) {
if ( substr($var, 0, 3) == '404') {
    if ( strstr($var, '?') ) {
    $newvar = substr($var, strpos($var, '?') + 1);
    $_GET[$newvar] = $val;
    }
unset($_GET[$var]);
}
break;
include('$default');
?>

Windows下面把上面的代码保存为404.php并指定。设置好固定链接即可。