The Nikon website has an awesome overview of all the features and capabilities of Nikon cameras. It's called digitutor (maybe they have it for other brands, too??). It provides specific and detailed information about your camera thru video tutorials that are easy to understand.
I looked up the D40 and found this link for your camera:
http://www.nikondigitutor.com/eng/d40/index.shtml
I have the D50 so I have been watching my video section as well. Like someone before me mentioned, I need to watch it over and over and do some hands-on practice in order for it to fully sink in. :-)