The higher the F-number, the more shallow your depth-of-field becomes.
A good way to remember is a practical experiment.
Sit at your desk and line up two objects - a cup and a lamp for example - one behind the other. Say half a foot's distance. Put your face close to the one in the foreground, close one eye completely. Look at the foreground object and start squinting your eye gradually and you will see how the background object becomes more and more fuzzy.
That's how your camera works. All you need to remember is - counter-intuitively - that the higher number equals MORE squinting (smaller aperture). The large number signifies, mathematically, more light drop-off because of a smaller aperture/hole that the light shines through.
Anyway, nevermind my harebrained experiments here..lol. If you either set your lovely Canon 40D to A-mode on your command-dial (Aperture priority Mode), you can manually set the aperture. Keep in mind that you need longer exposures for high F-numbers.
Alternately you can try out the also excellent "Portrait" mode - again using your command dial - and see what that yields. For extreme shallow depth-of-field you can also dial to the Macro mode (probably a flower-icon on your dial) if you want a very narrow focus plane.
Hope this makes sense even if it was a bit long-winded