Here's part of an answer I gave another user of Canon's. I have two - the A70 and the A20...love 'em. You'll have a great time.
I am giving this advice based on my recent trip to Coz and on my use of the A70...some things may be a little different on the A40, but hopefully this will get you in the ballpark.
First, set your shutter speed for 1/250 or so. A fast shutter will help freeze action and you shouldn't get too much blur.
I wouldn't use program/auto mode...the camera will select a shutter speed that is too slow and you will get blurry shots.
I leave mine in macro mode and turn off AiAF.
Next, try your aperture around 5.6 or so...you may have to change one or both of these settings during the dive if it looks like your photos are blown out. Remember, in most screens on digital cameras if the colours look nice and bright and well exposed they are actually OVER exposed and you need to adjust to make them a bit darker. YMMV but I use this as a good rule of thumb.
Now for shutter lag. You cannot control this, it's just one of those things you are going to have to work around when using any digital non-slr.
Prefocus by half press of the shutter then there shouldn't be any significant lag when you fully press to take a photo. This is one of the hardest things to "learn" when moving from film. You are going to have be patient and wait for the fish/creature to "pose" to take the shot. It'll be worth it.
Slow down. Even while drift diving it is possible to do this. Don't pursue the fish/creature...most of the time this will make them turn away. Have your camera & arms in position so you aren't making dramatic movements when you take a photo...this will also let you have a nice place to prefocus from.
Practice practice practice. If you can do shore dives or snorkelling or even in the swimming pool get in there with the camera. You don't have to keep your results, but practice is the only way you will get a feel for how long it takes for your camera to go from cold (no prefocus) to a worthwhile shot. Then you get to try to "time" that when you diving...it can be frustrating, but keep at it...you'll be surprised at how fast you get it!!
Also practice on land so you know your controls.
Ask away if you have questions...also do a search through this forum as this is a common question for any new camera and there have been quite a few recents posts...