There are 2 updates available for the basic D40, and one for the D40X.
Version 1.11 for the D40 is here:http://support.nikonusa.com/app/answers ... a_id/14543
Version 1.12 A file only is here:http://support.nikonusa.com/app/answers ... a_id/16413
If you actually have a D40X, the update for it is here:http://support.nikonusa.com/app/answers ... a_id/16417
There are instructions on how to do the updates on the site where you can download the files. It's not hard to do, just follow the instructions step by step. But, if once you've read them you have any more questions, feel free to ask.
Is it absolutely necessary to do the updates? Maybe not, but there are some upgrades included in the update that will improve the functionality of the camera. The 2nd update for the D40 improves how the camera detects and reports the battery charge, giving you a more accurate read out than what you are now.