Why is it useful?
If a user tries to visit a directory on your website and the web server can not complete the request (i.e. throws an error), you can redirect them to a custom page that explains the error instead of having the user look at the generic error page.

Brief description of the errors:
401: Authorization Required
Someones tried to access a password protected area but did not provide correct user/pass info.

403: Forbidden
This person is blocked from requesting the document.

404: File Not Found
Self explanitory.

500: Internal Server Error
Usually, this means the cgi script being used crashed.