It might be that you do not have one. On my servers (virtual servers) I had to create one myself. This is not very difficult, just use a text editor.
I am not at expert at these .htacess files, but I understand that they can get very complex. I think mine is rather simple. It contains the following 2 lines. I think that my first line prevents files from being shown if someone types http://domain.com/any_folder, and the second line tells my server which file to show when a user types an invalid URL.
ErrorDocument 404 /errors/notfound.html