the 400d has a dust reduction system, it reduces it but doesn't eliminate it, that is also true of all other dSLRs with 'sensor cleaning' It's a bit like Red-eye reduction, it reduces it but doesn't eliminate it.
Basically when the sensor cleaning is activated it shakes the dust and it falls onto a very high-tech piece of equipment called double sided sticky tape, and hopefully it stays on the bit of tape. In fact even cameras without sensor cleaning modes have that bit of tape.
Oh and if you think I'm making that up, I'm not! We have smashed up an EOS 300D to get the sensor out and there it was in all its sticky high-techness. The new Canons, EOS 1D mkIII, EOS 1DS mkIII and the 40D have a newer system than the 400D which is better but again its still a dust-reduction system.