I have installed a Lutron Diva Single-Pole dimmer, and ran the wiring to the light, but have not installed the light. So I tested the voltage on the wire at the light and got 40V WITH THE SWITCH "OFF". Is this normal?

If it's turning on led s, that's nirnal

Depending on your wiring, as to single pole (one switch location) or 3 way (two switch locations) you can use most dimmers. Leviton and Lutron have similar dimmers, and some specifically for cfl's.
Leviton has Sureslide, Illumitech, True Touch
Lutron has Diva, Skylark, and Lumea

Make sure your cfl is dimmable.

This is single-pole -or- 3-way dimmer
Manual shows on following link:
http://www.lutron.com/TechnicalDocumentLibrary/0301107A.pdf

1) Manual says: The red/white wire is not used in a single-pole application. Twist a wire
nut over this wire for a single-pole application.
2) Green wire connects to bare ground wire. Or bare ground to bare ground.
3) Connect dimmer-red and dimmer-black to either insulated wire that came off of old switch

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The dimmer connections should go like this.

Black from dimmer to black Constant Power In Wall
White from dimmer to Neutral (Whites) in wall
Yellow from dimmer to wire out to light (usually black)
Green from dimmer to BARE GROUND WIRE

You will need to return the 3-way dimmer and get a single pole dimmer, as the Lutron Skylark series is suspectible to failure if connected to a live circuit first, or misconnected at intial installation. As an electrician, I ceased using these dimmers years ago, due to the rash of call-backs by customers and went with Leviton togglers and have had excellent results.

If you purchased it at a 'big box' store, they will accept the return as a defective item, as they have national agreements with their suppliers to accept customer returns. Just tell them it didn't work and you want a store credit, you can then purchase the lower priced single pole dimmer you need and save some money in the process too.

Hope you find this Very Helpful - best regards!

This video from the Lutron site shows the Diva switch but it is the video for the Skylark single pole switch also. It makes no mention of one wire being a larger gauge and does not differentiate which wire connects to line power and which to load. I do not think the wire gauge makes any difference.

get new one,not repairable.

Home Depot sells Lutron dimmers which are single pole and basic.. www.homedepot.com

there is not way to know how the wires are run by the description.
it is possible to connct true 3-way switch, it will required additonal pair of wires to all 3 switches (meaning 3-14/3 wire).
so call 3-way switches is only two way. I have not seems a real 3-way switches.
go to the following site. they a connection diag. for the switches.
http://www.homeimprovementweb.com/information/how-to/three-way-switch.htm