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Go to Advanced Configuration > All Code Tables> Sub System: FRONTEND, Table Name: Error messages.
Each code line is a line in the error message - "Customize" each line. To create links in the text, add appropriate html tags.
Example: To link to a help page on your website, the Description of the Code would look like this -
<a href="http://library.sjsu.edu/ask-librarian/ask-librarian">Get help from a librarian</a>