Welcome to the forum .
Are you making sure the leader is in the correct position before you close the back ?
It sounds like it isn't quite over far enough to engage in the take up spool , so when the camera goes to wind it on , nothing happens .
If that's the case all the camera is now seeing is a film cassette loaded that's effectively already been rewound .
Does the back open ?
If it had been loaded correctly , there is a device on it to prevent you opening the back . If not , the leader will be where you put it still .
Have you read the manual ?
https://www.manualslib.com/products/Konica-Minolta-Dynax-40-5174897.html
Without a film loaded , just the battery inserted , does the camera autofocus the lens and fire the shutter ?