Yes, you can set up your own custom error pages by using the .htaccess file (it is located in your public_html folder) or by navigating to your cPanel and clicking on the 'Error Pages' icon. This will give you access to the easy to use Custom Error Page Creator.

If Internet Explorer is not displaying the custom error page, it is likely because the error page must be larger than 1 kilobyte.

There are many error pages which may be defined.

Client Request Errors
400 - Bad Request
401 - Authorization Required
403 - Forbidden
404 - Not Found
405 - Method Not Allowed
406 - Not Acceptable (encoding)
407 - Proxy Authentication Required 
408 - Request Timed Out
409 - Conflicting Request
410 - Gone
411 - Content Length Required
412 - Precondition Failed
413 - Request Entity Too Long
414 - Request URI Too Long
415 - Unsupported Media Type

Server Errors
500 - Internal Server Error
501 - Not Implemented
502 - Bad Gateway 
503 - Service Unavailable
504 - Gateway Timeout
505 - HTTP Version Not Supported

404.shtml
403.shtml
500.shtml