I'm a moderator at a fairly large Lord of the Rings community (No advertising, please), and thus have access to one of the servers our webmaster reserved for us, mine being the /elves/ directory. I tried to make a 404 Error page, but it doesn't seem to work. Is this because I cannot use http://www.lotrplaza.com/error.asp, but http://www.lotrplaza.com/elves/error.asp?
Also, does having .asp extensions, and not .html extensions have anything to do with it?

i think asp should be ok.
the real question is if you have the ability from the host to create a 404 page. you need to be able to create and use an ".htaccess" file.