Back in May 2009 when TMG 2010 was still on Beta 2 I wrote this post talking about a new feature on TMG 2010 that allows you to customize the error message if the user hits a deny rule. Since them I received many questions related to how to customize that page itself. After testing it and do it myself I wrote a post for TMG Team Blog that was reviewed by two developers from TMG Team in Haifa and one of our Escalation Engineers in France. This post explains how to make this customization, see the complete article at: http://blogs.technet.com/isablog/archive/2009/11/26/deny-page-customization-on-forefront-tmg-2010.aspx
I hope you enjoy it.