Edit 2 :If that the case Check here :
http://support.microsoft.com/kb/956196
You must indeed modify the ieframe.dll.mui file but not with a simple text editor. You need a ressource editor that can open library files and do the modifications in a "cleaner" way.
Start by making a copy of the original file in case you mess things up and then open the library with your ressource editor.
Once inside ieframe.dll.mui you must open the "23" sub-key and there you will see all the various ressources that can be modified. The messages you are looking to change is DNSERROR.HTM. Just copy/paste the proper HTML message you want and recompile/save the library. There is also DNSERRORDIAGOFF.HTM and DNSERRORDIAGOFF_WEBOC.HTM whose purpose I'm not certain of but I changed them as well just in case.
Please note that you may find multiple instances of the ieframe.dll.mui file on your system (in system32/dllcache and system32/en-US among others) you'll want to change these as well.
Source :http://social.msdn.microsoft.com/Forums/en-US/ieextensiondevelopment/thread/ccb51696-6d0e-4669-9e79-19597b4cf40f