To enable the continuous shooting mode on the Nikon D40, go into the Custom Setting Menu (pencil icon). Scroll to item 4: Shooting mode.
Choose Continuous in this menu to enable continuous shooting.
With this setting, the D40 will take 1 shot if you just press the shutter once, and keep on shooting if you press and hold down the shutter. In fact, there is not much reason to use the Single shooting mode, so you can just leave this as the standard.