404 Errors happen when you delete a page or change a filename.
It is best if you redirect these pages to a live page - See this help file
However, If you would like to change how your 404 pages look, follow these steps:
1. Go to Design
2. Then Template Editor.
3. Scroll to the bottom of the page and find Page Not Found - eg when a bad URL is entered.
There is also another 404 page regarding the shop pages.
By default, the user is presented with category menu items they can click to go back to the shop. However, if you wanted to change this page too, it is the Product/Category Page Not Found - eg when a bad URL is entered option.