In the demo in Pulse there's a page called "404":
As @jdloudon mentions below - this appears when you go to a wrong link. You can edit this page to change the text, add links, images - whatever you like!
Looks like this in default mode:
If your site is not directing to the 404 you can add the redirect in htaccess but usually that's not necessary.
But it's most likely please make sure that page exists first is the most likely issue!