Chusmeé por la red y encontré esto.
"Take the lens off and continue pressing the shutter untill it doesn't react anymore, you should then have a normal menu without the error message.Put your lens on and you're all sorted.Cheaper and less hassle than sending it to Nikon."
El sitio en donde está posteado:
http://www.fixya.com/support/t514934-nikon_d40si no leés inglés, la idea parece ser sacar el objetivo que tengas pueso, y obturar repetidamente. luego de unas cuantas veces, parece ser que el tema se soluciona. No parece tener mucha lógica, pero bueno, tampoco cuesta absolutamente nada probarlo...
Otra solución (esta te la traduzco si me decís que no entendés inglés, ¡es más larga y me da paja traducirla para que después me digas que no hacía falta!)

La URL:
http://www.flickr.com/groups/d40slr/discuss/72157608920360100/ACLARACION: esta solución involucra meter mano en la cámara y un par de personas dicen que a la larga el problema volvió y se terminó solucionando con el método de arriba, a otros parece haberles funcionado permanentemente.
Here's how I did it.
Get a very small cross head screwdriver (watchmaker size)
A can of WD40
Sticky tape
A good light
Remove the Battery and SD card
Open up the bottom of the D40x putting the small screws onto the sticky tape in order of removal.
You might want to take pic with another camera so you know where all the screws go.
Then remove the metal plate (used for the tripod mount, you will need to remove the back of the D40x as well, it's only 2 screws)
Now look at John C Ayr's pic of the D40x
www.flickr.com/photos/johncayr/3969534234/Spray a SMALL amount of WD40 onto the red and white gear wheels.
(Don't use so much that it drips down onto the optics, you don't want oil in there!!!)
Put the battery in and hold it down to make contact, put in the sd card and switch on the camera and try the shutter button. (switch it to manual focus or it might try hunting around for ages for focus)
It might start working, if not move the red wheel a few stops and try again.
Once it's lubed up and the wheels move it should be ok.
Keep taking pics until you feel it is ok.
Then reassemble following the screws backwards on the sticky tape.