Redirect to login page when username or password are wrong


My site is supposed to be all in the front end, but when an user inputs a wrong username or password at the login page, he gets redirected to the wp login page; I want users to be redirected to my site’s login page when that happens, displaying a message showing what was wrong, like a “Wrong password” beside the password field. I tried a plugin called WP Admin No Show, but I guess it didn’t work, since the wp login page still appears when the user inputs a wrong username/pw.