It can also depend on your CMS as they may have a 404 template file that you can manipulate whether to redirect to a home page or show a special offer on for people that have found a "secret page" on your site.
As said above it really depends. Post up whether you're on a shared hosting, VPS or dedi and if you are using a CMS
if your site is built in php than u can do that using .htacces where u need to write rewrite rule... or u can do it through your webhosting cpanel.
You probably can't do this for a blogspot blog. You have limited control over such a blog. You could try contacting blogspot support with your question though.