Page not found content finder for Umbraco

PageNotFoundContentFinder.cs

using System.Linq;
using Umbraco.Core;
using Umbraco.Core.Models;
using Umbraco.Web;
using Umbraco.Web.Routing;

public class PageNotFoundContentFinder : IContentFinder
{
    public bool TryFindContent(PublishedContentRequest request)
    {
        // have we got any content?
        if (request.PublishedContent == null)
        {
            // Get the root node for domain
            var home = request.RoutingContext.UmbracoContext.ContentCache.GetByRoute(request.Domain.RootNodeId + "/");

            // Try and find the 404 node
            var notFoundNode = home.Children.Where(x => x.DocumentTypeAlias == "NotFoundPage").FirstOrDefault();
            if (notFoundNode != null)
            {
                // Set Response Status to be HTTP 404
                request.SetResponseStatus(404, "404 Page Not Found");

                // Set the node to be the not found node
                request.PublishedContent = notFoundNode;
            }
        }

        // hopefully we will have content at this point
        return request.PublishedContent != null;
    }
}

I'm following this page of Warren's and was led here.
Could you please suggest the best place to save this file, and also, to which class this method needs to be added:
protected override void ApplicationStarting(UmbracoApplicationBase umbracoApplication, ApplicationContext applicationContext) { //On application starting event... //Add to the ContentFinder resolver collection our custom 404 Content Finder resolver ContentLastChanceFinderResolver.Current.SetFinder(new _404iLastChanceFinder()); }
Thanks in advance!