WordPress is shipped with its own capacity to generate a custom 404 page not found page. It is set to automatically look for the file 404.php when an error 404 is reached. However, not all themes come with this 404.php file
The default WordPress custom 404 file is a simple listing of pages, categories, authors, latest posts, etc. This may be good for you but I think you can get something quite unique and more useful. You will not have any need for a plugin at all to get a better page set up.