You have to enable the recording from the XLR inputs. Check the mic specs to find out if it wants phantom power (If it's a condenser mic and doesn't have a battery of its own, it does.)
You need either an XLR adapter (Rode makes an inexpensive one that works reasonably well) or you can adapt the 1/4" input in the center of the XLR jacks to 1/8". Note that the inputs are MONO on the DR-40 (there's a left and right) and you have to pay attention to how the adapter is wired because if it's incorrect it will effectively short out the microphone signal and then you get nothing. The XLR inputs, including the center jack, are on the same circuit and the switch selects between line (no preamp) and mic (preamp) levels.
The web page mentions the DR-07 (which I also have one of) so I would expect the Rode adapter would work correctly. Then you have to select either to record from the external inputs OR record 4-channel (internal microphones AND external at the same time)
Once you have the unit on hit the REC MODE button. If you want Stereo then leave that, otherwise select MONO. Scroll down to SOURCE and then scroll right to enable source selection. Choose either EXT IN 1/2 or EXT INDEP. for a stereo feed (Left and right into SEPARATE jacks) or two independent mono channels (one into EACH jack.) If you selected MONO above then only the first external jack is active.
There is no stereo external input on the DR-40; if you're recording a stereo source you need to split the input before it gets to the box.
I own a DR-40 and it's a nice unit -- just takes a bit of figuring out as to how to select the different inputs. I find the preamp is a bit noisy but acceptable in reasonably-loud environments.