I'm with SupaNames, and in the Control Panel there is an area to add code for a 404 and 500 error page.

However I've just tried to create a 404 error page myself using a .htaccess file rather than useing the control pannel.

The problem is when I uploaded the .htaccess all I got was my hosts generic IISPassword The page cannot be displayed message.

I followed this tutorial exactly
http://www.thesitewizard.com/archive/custom404.shtml

Are there any mistakes in that tutorial?

I'm not sure, but when you say:

all I got was my hosts generic IISPassword

makes me think your host is running IIS as web server.

A .htaccess, as far as I know, is an apache configuration file.
Now, maybe Ms team implemented support for apache directives, and convert them in a IIS directive, but given they attitude about open sources softwares, I highly doubt it.
Your problem may be there.