A 404 page communicates that the requested page could not be found. If a visitor lands on a page that doesn't exist, a 404 message will show.
Use the theme editor to change the messaging and continue shopping link direction.
Change the messaging
To change the wording of the message, go to Theme actions > Edit languages > 404
Continue shopping link direction
By default, this will be set to All products. To change this, go to Theme settings > Advanced. In here you can select the X icon to the right of the current link, then select from the provided suggestions or search for the page name.