Zen Cart has built-in page-not-found handling which by default takes the customer to either the home page or the page_not_found page, which contains a site-map style listing of navigation links.
If you want to alter that behaviour to go to a specific "different" place, try this:
1. Admin->Configuration->My Store->Missing Page Check ... set to page-not-found
2. edit /page_not_found.php and change this:
Code:
header("Location: index.php?main_page=page_not_found");
to this:
Code:
header("Location: 404.html");
(or whatever alternate place you want it to go to)
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