how do you do a long exposure photo on a nikon d40 ?

in M mode turn the shutter control dial until it reads 30" then it will read bulb. Hit and hold the shutter. Release when you've had your fill.

May be better to use a cable release with lock to avoid camera shake.

Bear in mind that however long your exposure the camera will take the same time again to process the image (if noise reduction is switched on, which you want) so either run it off mains if possible or have a freshly charged battery in.

Also shoot in RAW mode (NEF I think Nikon call it) as this lets you tweak noise, sharpness and exposure and white balance at your pc, very long exposures introduce reciprocal law failure and colour casts.

Shooting RAW helps you make the most of what you end up with.
 
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