What you're doing will work, and the browser will receive a 404 code. What it won't do is display the "not found" page that you might be expecting, e.g.:
The requested URL /test.php was not found on this server.
That's because the web server doesn't send that page when PHP returns a 404 code (at least Apache doesn't). PHP is responsible for sending all its own output. So if you want a similar page, you'll have to send the HTML yourself, e.g.:
<?php
header($_SERVER["SERVER_PROTOCOL"]." 404 Not Found", true, 404);
include("notFound.php");
?>
You could configure Apache to use the same page for its own 404 messages, by putting this in httpd.conf:
ErrorDocument 404 /notFound.php