How can i create my custom page?.

Hi All,

I have a page in my site which is not created in my WP-admin pages,posts or category. when in entered the page name in url it redirects to 404.php page. Now my question is how can i execute that page without rediects to 404.php page?.

I need to control the redirection before the 404.php redirection happens?.
Is that possible?.please help.