Google Sitemap Verification With 404

I just logged onto Google sitemaps to check since I haven't logged on for a few weeks and I noticed a few new features.

One of these is a verification process and I tried to verify my site by following the instructions but I was then shown a message below...

"We've detected that your 404 (file not found) error page returns a status of 200 (OK) in the header."

I was then sent to this page (3rd paragraph from the bottom)
https://www.google.com/webmasters/si...ileconfigerror

It reads as follows:
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We've detected that your 404 (file not found) error page returns a status of 200 (OK) in the header.

this configuration presents a security risk for site verification and therefore, we can't verify your site. If your web server is configured to return a status of 200 in the header of 404 pages, and we enabled you to verify your site with this configuration, others would be able to take advantage of this and verify your site as well. This would allow others to see your site statistics. To ensure that no one can take advantage of this configuration to view statistics to sites they don't own, we only verify sites that return a status of 404 in the header of 404 pages.

Please modify your web server configuration to return a status of 404 in the header of 404 pages. Once your web server is configured correctly, try to verify the site again. If your web server is configured this way and you receive this error, click Check Status

What I would like to know is how I could set the status, whats the correct way to write this in the header of the 404 error page I made?