Maybe you could spend some time trying the built-in flash? In my - rather limited - experience, it does the job for indoor photography (close range) and for those outdoor situations when you can't avoid placing your subject between you and the sun and must get rid of shadows and "dark areas".
Having said that...
The problem with the built-in flash that comes with the Nikon D40 is the range. And of course, the low "power": it has a guide number of 17 at 200 ISO.
There's this formula (assuming I got it right):
effective_flash_distance = guide_number / aperture
so, assuming you were taking a photo at f/11, that would give you 17/11 = 1,5 metres, or just under 6 feet. That's not a lot of distance.