Most decent stats packages will tell you the url the caused the problem and what the referring link was (i.e. where it came from).
I wouldn't worry too much though. Most of them can be ignored as you'll often get errors from such things as:
- spammers looking for open formmail scripts to spam from.
- hackers scanning for windows vulnerabilities.
- Search engines checking what the error page looks like.
- etc.
- and I forgot the favicon.ico icon when people add you to their favourites lists (the best kind of 404 error)
It is worth checking though so a halfway decent stats package is a good idea.
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