Well, first off the D40 lacks a focus motor in the body so this limits you on the number of affordable lenses you can purchase and still have auto focus. This is one of the biggest detractors to the lower end Nikons. Why Nikon sells an entry level camera that requires their most expensive lenses to have auto focus is beyond me.
It sounds like you want one lens to do just about everything for you... and this isn't going to be cheap... even if you look to Sigma. I say this because you keep referring to a "lens" vs. "lenses".
Take the Sigma 70-200mm F2.8 DG MACRO for example. It does just about everything you're looking for but it still costs $800.
In the price range you're looking at I don't know that you'll find anything, especially if quality is something you're looking for. You might want to save a little longer.
Is there any other lens similar to Sigma 70-200mm F2.8 DG MACRO ?
I just can't afford that one just now..

.. Will have to wait awhile if I want to get that. But I need one very soon ...