How to create an error 404 page using PHP?

The up-to-date answer (as of PHP 5.4 or newer) for generating 404 pages is to use http_response_code:

<?php
http_response_code(404);
include('my_404.php'); // provide your own HTML for the error page
die();

die() is not strictly necessary, but it makes sure that you don't continue the normal execution.

What you're doing will work, and the browser will receive a 404 code. What it won't do is display the "not found" page that you might be expecting, e.g.:

Not Found

The requested URL /test.php was not found on this server.

That's because the web server doesn't send that page when PHP returns a 404 code (at least Apache doesn't). PHP is responsible for sending all its own output. So if you want a similar page, you'll have to send the HTML yourself, e.g.:

<?php
header($_SERVER["SERVER_PROTOCOL"]." 404 Not Found", true, 404);
include("notFound.php");
?>

You could configure Apache to use the same page for its own 404 messages, by putting this in httpd.conf:

ErrorDocument 404 /notFound.php