not to the d40 - I have done with my 350d instead (not a Katz-Eye one tho - a cheap chinese one instead).
It was VERY easy when you realise what you have to do - literally just unclip the holder and it falls out - put the replacement screen in and pop the holder back into place - takes about 30secs . I presume that this is rather similar for the d40 - best check first tho
So its nowhere near as bright as the katzeye one but its 1/5 the price....
The micro-prisms are not usable beyond f5.6 (split collar is ok til about f8 or so)
Another alternative is the Haoda screen. Cheaper than Katz Eye & said to be less affecting the meter. I installed on my D40 & satisfied with it.
Have a look here for comparison: http://forum.nikonpassion.com/viewtopic.php?pid=94259