Hello bo jackson,
The sf404.aspx error page is used to enable you to use extensionless URLs, however if you do not change the pageExtension property in <cms> configuration section .aspx pages will still be served. This allows you to create the pages using .aspx extension, however when requested without extension you can serve those requests too. If you are using IIS 7.0 you can use a wildcard script map to the aspnet_isapi.dll which will also allow you to serve extensionless pages without configuring Sitefinity to create them without the extension.
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