Custom 404 Page

I have setup a custom 404 page and have changed the settings in IIS to point to custom .cfm page, however while this works for www.mysite.com/not_found_directory it does not work for www.mysite.com/not_found.cfm. What shows up in the later case is the default ColdFusion error page. What do I need to do so that this also points to my custom .cfm page?

Thanks,
Rachel