Help: NOT VERIFIED?

I got this following message...

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

I don't quite understand the info help from this page...
https://www.google.com/webmasters/sitemaps/docs/en/verify.html

"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. Note that we do a HEAD request (and not a
GET request) when we check for this. 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
again and we'll recheck your configuration."

Still NOT VERIFIED.

What do I have to do now exactly?