Put this in your Wordpress 404 page template

<?php
#some variables for the script to use
#if you have some reason to change these, do.  but wordpress can handle it
$adminemail = get_bloginfo('admin_email'); #the administrator email address, according to wordpress
$website = get_bloginfo('url'); #gets your blog's url from wordpress
$websitename = get_bloginfo('name'); #sets the blog's name, according to wordpress
  if (!isset($_SERVER['HTTP_REFERER'])) {
    #politely blames the user for all the problems they caused
        echo "tried going to "; #starts assembling an output paragraph
	$casemessage = "All is not lost!";
  } elseif (isset($_SERVER['HTTP_REFERER'])) {
    #this will help the user find what they want, and email me of a bad link
	echo "clicked a link to"; #now the message says You clicked a link to...
        #setup a message to be sent to me
	$failuremess = "A user tried to go to $website"
        .$_SERVER['REQUEST_URI']." and received a 404 (page not found) error. ";
	$failuremess .= "It wasn't their fault, so try fixing it.  
        They came from ".$_SERVER['HTTP_REFERER'];
	mail($adminemail, "Bad Link To ".$_SERVER['REQUEST_URI'],
        $failuremess, "From: $websitename <noreply@$website>"); #email you about problem
	$casemessage = "An administrator has been emailed 
        about this problem, too.";#set a friendly message
  }
  echo " ".$website.$_SERVER['REQUEST_URI']; ?>