Perhaps the most common error you will see! It simply means that the page you have surfed to has either been removed or has never existed. It could also mean that the address you have typed is wrong, in which case double check what you have typed, or it could be that the link you have followed within a web page is wrong.
On your own website, ensure that the links are correct. Especially if you link to someone else's pages, who may remove them without knowing that your links will break.
Another reason for 'not found' on your own websites, even when it looks like the links are correct, is file name case sensitivity. With files names on the web server the upper and lower casing of the characters is significant. "FileName.html" is a different file to "filename.html" - make sure you write your websites with this in mind. On your home computer running Windows, you may not see this effect. Windows normally does not care about the casing of file names.