VS 2008 - Detect 404 For File Download

I have a webapp where a datagridview is populated with records from a database and one of the columns is a download link to download the zip or exe file. We have the zip files on our server, but not the exe files as those are on another department's server. We have all of the file available for download, but if the user as an option selected in a dropdown, those url's in the gridview are re-formatted to be the exe file's on the other dept's server, however they don't have all of them (some 20% are missing) which means if the user click's the link they get their server's 404 not found page and can't download the file.

My PM (Project Manager) is asking me if I can have our webapp detect that the file doesn't exist on their server and instead of them getting the 404 page, they don't leave our app at all and get a javascript popup window or the page is refreshed with a red mark (and a message) next to the link they clicked on, is something like that possible? I have 2 restrictions with this, I can't modify the database because it doesn't contain file paths, it only contains a small portion like (Clinton County, Eaton County, Traverse County, etc..) and the rest of the url is formatted on the fly when the page is rendered, so there's no way to mark the missing files and there's no way we can host the files.