How to redirect 404 error to a static page?

Currently, the 404 not found error is redirect to a page set by me:
http://www.mysite.com/?q=node/45

When I check the log, I found this page actually consume the same CPU time like other blog entries as it is also generated by drupal.

I am wondering whether I can redirect 404 error to a static html file I creat myself, so that CPU time can be saved.

Thank you.