The 404 page is the default page that appears when a user types in a page on your website that doesn’t exist, or when another site links to a page that doesn’t exist. This can happen for a number of reasons, but the most common cause is that at some point along the way you changed something about the structure of your site, perhaps accidentally simply by upgrading or changing your blogging software. Since the other sites linking to you don’t know you updated things, their links are now out of date. Some search engines might even keep those pages indexed in their search, but they won’t lead anywhere when visitors click to visit so you'll be missing important connections and contacts and potentially tarnishing your online reputation.
There are two good ways to deal with 404 errors. The first is to periodically check your site’s logs to see what pages are delivering 404 errors. You can then find out where the traffic is coming from, and can contact the blog or site owner to ask them to update where the link points. Alternately, you could create a page with the name that is showing the 404, which can have content of its own, or direct visitors to another page on your site. The second, and more general, way to deal with 404 errors is to create a custom 404 page. Many site control panels have a tool to do this, and it will allow you to present relevant information to your visitors, and to direct them to an actual page on your site.