For some unknown reasons, Nikon decided to skip the automatic exposure bracketing feature on the D40 and D40X DSLR cameras. For people who are interested in high dynamic range (HDR) photography using D40/D40X, this is a convenient feature that is missing. However you can still do HDR photography without it using D40/D40X. Here are two ways of doing that.

The following example is based on exposure bracketing shots of -1, 0, +1 EV.

The easy way (Camera in aperture priority mode)

1. Put the camera in aperture priority mode
2. Take the first photo
3. Hold exposure compensation button, rotate the command dial 3 clicks to the left (+1 EV)
4. Take the second photo
5. Hold exposure compensation button, rotate the command dial 6 clicks to the right (-1 EV)
6. Take the third photo

The precise way

1. Take the first photo
2. Put the camera in manual mode, set the aperture to the same value used in first shot, but reduce the shutter speed 1 full stop (exposure twice as long)
3. Take the second photo
4. Increase the shutter speed 2 full stops (1 full stop if counting from the original exposure)
5. Take the third photo

There are some debates on which one is better but both methods should work well in typical situations. Both methods have potential issues if the scene has rapid changing lighting condition because it takes time to adjust the camera settings during shooting. In this situation, the first method may give you three different exposures that are not exactly 1 EV apart. The reason is that the exposure compensation is applied only when the shot is taken based on the correct exposure at that moment determined by the camera. The second method ensures the three shots were taken with precise exposure value differences. It seems the second method is better. However there is really not much practical differences if the lighting condition is changing between the shots.