If it does not have the web page, or if it is not allowed to hand out the web page, it generates an error message for the person to read saying that it does not have the web page you asked for. However, let's pretend that you live in a cave and have never seen a 'web page not found' error message. Click HERE to see one. Use the BACK button on your web browser to get back here. Click HERE to see another one.
Different servers have different error messages.
Some internet providers have a nice friendly page that explains more about the web page not found. Here's an example of one of those. Another example is mail servers. If all is not well, it will not accept the email from the user and will generate an error message. Other servers are similar.