Are you connected locally to the machine (or using IIS to connect remotely to another server)? Are you running Service Pack 2?
Could you open %windir%\system32\inetsrv\config\applicationHost.config and search for httpErrors and post the following ones:
You will find a section definition something like:
<section name="httpErrors" overrideModeDefault="Deny" />
then you will find it inside something like: <httpErrors>, is it inside a <location path=> element, or as a top element? Is it ever inside a <location path, and if it is what is the overrideMode attribute in the <location?
Finally could you tell us in the Status Bar of IIS manager when you are inside the Error Pages feature what is shown on it? Is it saying something like "Configuration 'localhost' applicationHost.config, <location..." or is it saying something like '... web.config'?