So your problem is that the new 40GB drive is not being detected? Does it get detected in the BIOS? If not; check your cables and jumpers. If it does get detected in BIOS, you may need to check Disk Management:
Click start, right click My Computer, click Manage, click Disk Management. Here your disk should be listed. If its listed as Uninitialized you may need to initialize it before you can use it. This will destroy all current data on the drive though.