There are three different factors in an exposure:
Aperture: This is how wide the opening in your lens is that lets light in to the sensor.
Shutter speed: This is how long the light is allowed to hit the sensor to make your exposure.
ISO: This is how sensitive the sensor is to the light that hits it. A higher number means it's more sensitive.
You can get 1/250 shutter IF you have enough light to work with, but if you're shooting on a cloudy day there just may not BE enough light for that high of a shutter speed.
There are 2 things you can adjust to get more light in and one thing to increase your sensor's sensitivity to the light that reaches it.
Aperture: The opening in the lens that allows light through to the sensor. The smaller this number is, the larger the actual opening. F/5.6 is a somewhat small opening and doesn't allow a lot of light through. So I would imagine that this is as far as you can go with that lens.
Shutter speed: The amount of time that the shutter is open to allow light to reach the sensor. On the 40D this can be as short as 1/8000sec or as long as 30sec; this is going to be the largest control you have in that sort of light. Obviously, the longer you set this the more light will reach your sensor and increase the brightness of the shot. The tradeoff is that unless you have the camera on a tripod, any shutter speed under about 1/320 of a second will start to generate blur from camera shake.
ISO: How sensitive your sensor is to the light that reaches it; analogous to film speed in a normal camera. The higher this number, the more sensitive your sensor is; so you can increase this try and get a higher shutter speed.
These are really rough basics and there are plenty of good books out there to read more on. Might try Understanding Exposure by Ryan Peterson for more info.