You need a program called Nikon Capture. (It's a Nikon product.) The latest version is Nikon Capture NX. Apparently the camera control software is a separate app for that version. I haven't used NX, but I've used older versions.
I'd suggest checking out the Nikon forums at dpreview.com. Lots of good info there.
thanks for the results guys. im trial-ing camera control pro 2 (d40 support wasnt added to version 1, until 1.3).
problem im having is, i cant get the program to detect my camera. im checking nikons website and i cant find a support page for it. the product descrip mentions tethering via the included USB or firewire. i was wondering if anyone knew if the included cables are different than the standard ones that come with most cameras.
nevermind guys, i found out about the PTP usb thing
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