Save yourself the money on a video and use this site: http://www.nikondigitutor.com/eng/d40/index.shtml
I haven't looked at the manual for my D80 for years because Nikon has put these sites up and they are much easier to navigate and read than the manual.
Lexar, and sandisk are the best known names for cards but I've also used Kingston with no problems and others have used several brands. Most are just fine and you shouldn't have to spend that much for a 4 gig.
Speed doesn't matter much unless you are shooting rapid fire constantly. It will show up in download time mostly.