It is not possible for you to create such a page through the hosting Windows offer: it is a prerogative of the dedicated server and hosting Linux offer. If you need the Linux server you can request the conversion to Double Hosting Windows + Linux at any time at the price shown on domains.aruba.it.
You can consult the guide for the creation of the error page customized on linux at this page http://vademecum.aruba.it/start/linux/404.asp.
In case of Hosting on the new Windows 2003 platform, you can, according to the applications asp.net managed through web.config, redirect the error 404 of the aspx pages, by using for instance a code such as web.config
<customErrors mode="On" defaultRedirect="errore.aspx">
<error statusCode="404" redirect="404.aspx" />