For non-aspx requests, the culprit is neither DNN nor .NET -- it's IIS.  IIS contains a set of mappings, only some of which (.aspx, ashx, etc) are delivered to .NET.  If .NET does not have an opportunity to handle the request, then it cannot perform custom error handling on the request.  With default configuration, you'll get .NET 404 handling on "/ANonExistantASPXFile.aspx," but not "/ANonExistantRandomFile.xxx."  With the former, IIS asks .NET to handle the file.  With the latter, .NET never gets a chance.

You can overcome this behavior by adding additional mappings in IIS (Properties/Configuration/Mappings), or by configuring custom error handling in IIS (Properties/Custom Errors).  Both will require access to IIS.  Some (most?) hosting providers will allow you to do the latter. 

Brandon

Sorry, folks, I had to reopen this issue : I tried the URL http://www.dotnetnuke.com/tabid/795/%20/Default.aspx - notice the %20 in the URL. I got an error page :

Server Error in '/' Application.
The resource cannot be found.
Description: HTTP 404. The resource you are looking for (or one of its dependencies) could have been removed, had its name changed, or is temporarily unavailable.  Please review the following URL and make sure that it is spelled correctly.

Requested URL: /tabid/795/ /Default.aspx

I verified that this is not IIS which is returning the above page and my custom error page directives in web.config (see below) were not firing :

 <customErrors defaultRedirect="~/ErrorPage.aspx" mode="On">
                <error statusCode="403" redirect="~/ErrorPage.aspx" />
                <error statusCode="404" redirect="~/404.htm" />
    </customErrors>

Hence I assume it is an error page returned by ASP.NET. How do I get such errors to be redirected to my custom error page?