It wasn't there before so I added it and it did change the default error page but still not my custom error page.
Internet Explorer = Gives me their custom 404 HTTP Error Page
Mozilla Firefox = Gives me a white page and "404.shtml" text
Google Chrome = Gives me their custom 404 HTTP Error Page
I'm sure it is 404.shtml, I have visited the page manually and it does show me the error page. The File Manager shows the file under the /public_html directory.
This might have been a fault on my part but I finally got it. A little searching on Google suggested that I needed the whole 404 URL. It does work with the full URL, not 404.shtml If you guys meant for me to add the URL then I'm sorry, I wasn't really thinking last night but thanks for the help.