Work on getting out of auto mode and taking shots without a flash. If you do not already understand it, you should learn about exposure. The book Understanding Exposure is great. The aperture on a DSLR is going to affect the depth of field much more than a p&s, so learn about it or you will end up with some disappointing shots. If you do not mind manual focus, look at the ~$100 50mm f/1.8. It is great for low light, but will not auto focus on a D40 series.
Kevin