If a file exists in the wp-content directory named db-error.php, then it will be loaded instead of displaying the WordPress DB error. If it is not found, then the WordPress DB error will be displayed instead.
The WordPress DB error sets the HTTP status header to 500 to try to prevent search engines from caching the message. Custom DB messages should do the same.
This function was backported to WordPress 2.3.2, but originally was added in WordPress 2.5.0.