FWIW, the Sigma 70-300 DG F4.5-6 is a nice basic zoom lens that you'll get for a lot less than £200.
http://www.amazon.co.uk/Sigma-70-300...1037153&sr=8-1
I'm sure Jessops do it for not a lot more.
Whilst it does have a "macro" mode, It has no real bells and whistles and isn't image stabilised. I'm also not too sure whether it will "work" on the D40 - I'm sure others will be able to confirm.
Having both a good spec high-zoom compact and a DSLR, my feeling is that if you get rid of your D40 in preference to a compact, you'll be clamouring for the flexibility and speed of the SLR before long. I love my Panasonic Lumix TZ5 10x compact as a backup that I can just shove in my pocket, but I've found it slow, inflexible and useless when needed in a hurry - shutter lag is a killer! You can't add lenses or filters to a compact when you start getting more confident and experienced, and they don't have the range of manual options that an SLR does.
To me, photography is mostly down to composition skills and patience - I have neither! :P However a good photographer can take a good picture with a rubbish compact, and a bad photographer can have the best camera in the world and still take rubbish pictures. Personally, I'd work with (and look to add to) what you've got, and maybe do some classes?