Hi Neil,
Is this on Win 2008/IIS 7?
Are you sure you have the newest version of Web.config shipped with mojoPortal? It sounds like you are probably missing this:
<system.webServer>
<modules>...
<add name="PageNotFoundHandler" type="mojoPortal.Web.PageNotFoundHttpModule, mojoPortal.Web" />
Also make sure the file /PageNotFound.aspx exists.
Hope it helps,
Joe