Customising 'Cannot display web page' page

Guys,

I've been charged with the task of locking down Internet access for our active directory users (win server 2003). I've managed to do this via group policy by making up a fake proxy server connection and then denying users the ability to change the settings.
This seem to have the desired affect for users who log onto the domain AND when working via terminal services, whilst maintaining their network connection.

What i'd now like to do is customise the page that appears when they try to connect. You know the one? 'Internet Explorer cannot display the webpage'
I want to modify it with our own logo and text.
Is this possible? If so, i'd be very grateful if you let me know how.

Many thanks guys

May be some useful info here:

http://www.issociate.de/board/goto/...cannot_display'_message,_can_it_be_done?.html