I host WordPress on IIS (a WAMP stack) and wanted to use WordPress 404 pages and not use the default IIS 404 pages.  The reason is that online exist a bunch of links to this site that are out of date.  I’d rather a simple 404 with links is returned to users and not the IIS default.

It was a simple change once I realized where the WordPress 404 Page exists, /index.php?error=404

Launch IIS Admin, right-click the website and choose Properties.  Go into the Custom Errors tab and for the 404 HTTP Errors, double-click and choose URL (instead of default file).  Enter the URL not forgetting the leading forward slash.

Save and hit a URL that WordPress won’t recognize (ie, http://yoursite/thisfolderdoesntexist/) and what returns will be the WordPress Page Not Found / 404 Error, not the generic IIS page.