there are two ways a 'Not Found can occur
1) a page just doesn't exist
2) you search for something that is not found
Case 1
In this case you need a 404.php file in the theme folder. Here is an example for release 3.6.7
HTML Code:
<?php
/**
* for displaying 404 pages (Not Found).
**/
?>
<?php
list($bfa_ata, $cols, $left_col, $left_col2, $right_col, $right_col2, $bfa_ata['h_blogtitle'], $bfa_ata['h_posttitle']) = bfa_get_options();
get_header();
extract($bfa_ata);
?>
your code goes here
<?php get_footer(); ?>
This will format the page like any other page on your site
case 2:
In this case, edit index.php and look at the bottom where you will see
HTML Code:
<h2><?php _e('Not Found','atahualpa'); ?></h2>
<p><?php _e("Sorry, but you are looking for something that isn't here.","atahualpa"); ?></p>
just change the message to what you want