As far as I know, no one made a digital camera that could accept Rokkor lenses without an adapter. But despite what you have heard, adapters are not your enemy. I use my Rokkor lenses on Sony digital cameras all the time -- with adapters, of course -- and I've lived to tell about it.
There may or may not be an adapter for your d40, and I have no idea what limitations there will be. You obviously lose auto-focusing, and you'll have to use stop-down metering, but A & M exposure modes will work -- perhaps others. If your camera is APS, the lens focal length will effectively increase.