I don't have a depth-of-field preview button on Nikon D40X. But please explain me, the depth of field what I see in viewfinder is not the final depth of field ?
When you take a picture, your camera tells the lens to close down to the assigned f-stop. When you are composing the shot, the appature is always open. Therefore, when you are composing you will see only the shallowest DOF. The DOF preview button will close down the lens to the assigned f-stop so you will see what DOF you will get while you are composing.
If you are making your shot with the lens wide open, the preview button will not do anything, but if you are shooting at f-22 the DOF preview button will close down the lens while you compose.