Short and sweet. Raw update 3.7 for Photoshop CS2 now includes the D40.

Narrator:And there was much rejoicing.
Monks:[Sullenly] Ya

http://www.adobe.com/uk/products/photoshop/cameraraw.html

For Windoze go to C:\Program Files\Common Files\Adobe\Plug-Ins\CS2\File Formats.
backup the original file and put the new one in place.

Or download updates through the help menu.