One thing that often trips me up whenever I setup a new Windows Server 2008 box is the IIS default error pages for standard error codes 401, 404, 500 etc.
These seem to override the Custom errors section in your Web.Config.
If you notice above the default for IIS7 is:
“Detailed errors for local requests and custom error pages for remote requests”
In order to make use of the Custom error pages in your Web.Config you need to select the “Detailed Errors” option.