A 404 page is a page where the website directs to when a url is broken or when the url doesn't exist. Weebly has their own 404 page but if you don't like it, you can follow your tutorial to make your own.
Step 1: Make The Page
First you make a new page by clicking the plus icon under the pages tab. Name the page: "404". Do not name it anything else or this tutorials will not work. After you make the page, click on it and under the page name you will see a check box that says: "Hide in Navigation". Check the check box and find the button named: "SEO Settings". Scroll down and check the check box that is named: "Hide this page from search engines."
Step 2: Add Content
Now you can add anything to that page you want. Preferably some thing that shows that the user is lost or is somewhere that doesn;t exist. You can check my example below: