BuddyPress.org

Yes, thanks, after much digging I did find that page.. ..and followed it to the only option that actually works for me, the link to http://blackmarketserver.com/blog/2010/07/13/pretty-permalinks-in-wordpress-3-0-and-iis6/

I removed index.php from the permalink configuration and now the custom 404 is working.
If I had the option of running linux, I would.. ..but I can’t believe this has been this way for what looks like 3 years now and not been fixed to work better with IIS.