Customer Error Pages give incorrect Http Error Codes

[Aptitude]

I've just noticed something rather annoying about custom error pages. Wanting to show users a nice message when they try to load a non-existent aspx page I set my web.config up like this:

<configuration>
  <configSections>
    <system.web>
      <customErrors mode="On" defaultRedirect="Error.aspx">
        <error statusCode="404" redirect="Error404.aspx" />
      </customErrors>
    </system.web>
  </configSections>
</configuration>

After having done this I then loaded up Fiddler to see what happens when I access a non-existent aspx page. It turns out that what you get is this:

1. A 302 Found response from the URL that is missing and
2. A 200 OK response from Error404.aspx

The trouble is that I have a number of search engines that keep scanning my site and indexing my error page where they could not find files. I can't remove all the links to these missing files as they are from other sites.

Does anyone know how I can give a nice friendly error message to users of my site and still return a 404 Error code in the Http header without the 302 step?