Embedding wp-login actions on site

As you can see on this site I’m using a custom login form (generated by a plugin) and it works just fine. However, when a user enters a wrong password or when he wishes to log out, he is still directed to an almost blank page (the standard wp-login page) which then says ‘Password incorrect’ or ‘Are you sure you wish to log out?’ I want these messages to be displayed in the form iself. Is that possible?