I have the same camera.
And if I were you, I'd get a cup of tea, find your favorite armchair, then bust out the guide book with the camera next to you, and just read. Then fiddle.
The guide book is pretty good, it describes everything well enough, and it got me started on the right path.

I just recently bought a D40 also, brilliant camera for the price! although i dont know where / when you got ur camera you may be interested to see this

http://www.nikon.co.uk/sites/cashback/default.html

Anyway back to the camera, im fairly new to the digital slr although i have owned a film slr and a few compact digital cameras with plenty of manual settings. The best advice has already been given, sit down, flick through the manual and play with the camera. After this i would say get out with the camera wherever u can and just keep playing with all the diferent modes and settings to see what they do.

As for the crash course here it is:

If your shooting fast paced action shots and want to capture the moment well, then i would advise you start off with the camera in S mode, which is the shutter priority mode. You will find that the control dial where your right thumb is will change the digits on the view finder. These are the shutter speeds. For a nice clear 'unblurry' shot of a rider, you need a fast shutter speed (just mess around with this setting and you will notice what i mean). The camera in S mode will automatically adjust the aperture to achieve a preset exposure, in other words when you set a shutter speed, it will adjust the other settings to try and capture the image with the same 'brightness' in the photo. however when you set the speed of the shutter fast, less light gets in, and there will be a point where your images may come out darker than you would like. This can be adjusted slightly sometimes by using the 'exposure compensation' on the camera (look this up in the manual).Best advice here is to keep an eye on the light meter in the view finder. You will notice a line with - and + on it, and a dash which moves when the light level changes. The aim is to keep the dash centered, which will mean a decently lit photo.

This is just a quick place to start, there is plenty to learn! and manual settings i find produce more consistant results when you learn to use them well. The shutter priority mode however is a brilliant place to get to grips with the SLR as it does half the work for you.

Another bit of advice is to learn about the shutter speeds and aperture sizes, Changing aperture sizes can give different effects of focus as well as just how bright the image is. Try googling DSLR tutorials, there should be tons out there!