404 Bug

Anyone having this problem, and / or found a solution ??

What did you put exactly in Custom 404 page?
Have you read the documentation (help pages)?

I've tried everysetting and no matter what custom 404 is set to, it still just forwards me to the homepage.

I will repeat the question: What did you put exactly in Custom 404 page?

You can't expect any help if you are not saying exactly what you are doing. Just saying "I tried everything and it doesn't work" will only help your question be ignored.

Custom 404 work just as it should if you follow the documentation which I hope you read.

I had this option ticked, and on unticking it, it seems to work fine now :

Redirect built-in SEF URLs

In the Custom 404, I have an article called 404 selected, that is in uncategorised content.

Are you talking about SEF Advance 2008 for Joomla 1.5 or SEF Advance for Joomla 1.0?