This is another method of doing this, which I think is pretty cool. But I'm to too lazy to elaborate on it too much, so I suggest you read the first tutorial.

<?php
if (! file_exists("$page.php"))
{
include("404.php");
}
else
{
include("$page.php");
}
?>

Now that goes in your main page where you want the content to show up. Lets say you pasted it into index2.php. You need to make a 404.php and upload it in the same directory. Now you make the links to:

index2.php?page=whatever

Now as long as the file "whatever.php" exists in that directory, it will show up. If whatever.php does not exist, 404.php will display. You can download the example.