Was bored, made this see notes.
###1st method
Easiest way is to put error/ folder into your webserver root dir add f.e. error_page 404 =/404.html; to config, restart and it should work.
###2nd method
If you want to server error pages from different dir you need to add this to your config: (there's probably better way to do this but I'm too lazy to check).
error_page 404 /404.html;
location = /404.html; {
root /your/path/to/file/dir;
}
location = /koty.css; {
root /your/path/to/file/dir;
}
location = /koty/404.jpg; {
root /your/path/to/file/dir;
}
I didn't like this method so I just created new vhost to serve css/imgs, edited htmls with links to vhost - you can see it in action here error 404 and error 401 (just click cancel when prompted for pass)
All cats images are taken from here and are licensed under the CC Attribution license.