The pictures are NOT stored in the internal memory, because the camera doesn't have any. Any pictures you take without a memory card can be reviewed on the screen, just to check that the camera is working, but are not stored and disappear when you take the next picture or turn the camera off. Sorry, but those pictures are gone.
I know that wasn't the answer you wanted to see, but there it is.
SOURCE: picture transfer from internal memory
Your D40 has no internal memory. The camera can take a shot, and even show you the image on the LCD, but is not actually saved anywhere, unless a memory card is present. There is a way to prevent the camera from firing without a card. It is in the setup menus.
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