Had to create a static content with title '404'. After the static page was created, I get header like this:
Response Headers -
www.yrmobile.com/wrongpath
Date: Sat, 04 Nov 2006 09:45:01 GMT
Server: Apache
X-Powered-By: PHP/4.4.4
Expires: Mon, 26 Jul 1997 05:00:00 GMT
Last-Modified: Sat, 04 Nov 2006 09:45:01 GMT
Cache-Control: no-store, no-cache, must-revalidate, post-check=0, pre-check=0
Pragma: no-cache
Connection: close
Transfer-Encoding: chunked
Content-Type: text/html
404 OK