I have a Sigma EX 17-35mm HSM. Compatibility?

Also check to make sure that the AF/MF switch on the side of the lens is set for AF and that the focus range is set to what you want.

Any digital single lens reflex camera body , rebel t3i, go to Canon's USA website and look at dslr cameras

Sounds like the autofocus motor is having issues, I'd suggest contacting Sigma.

The Sigma 70-300mm f/4-5.6 DG will not autofocus with the D40 since the lens does not feature an internal focusing motor (HSM). The D40 does not have an AF motor in the body and hence it can autofocus only with lenses featuring an integrated motor (eg. Nikon AF-S lenses, Sigma HSM lenses, Tokina DX II series etc). Unfortunately you can use the said lens only in MF mode.

Hi The 120-300 f2.8 is a full frame lens so it works on all canons with a eos fitting

Yes its a HMS lens it will work on most Nikons

All Sigma:
50-500mm f/4-6.3 DG
50-150mm f/2.8 EX DC HSM
70-200mm f/2.8 DG MACRO
80-400mm f/4.5-5.6
100-300mm f/4 DG
120-300mm f/2.8 DG

1. with this combination of camera/lens you will not have AF when a x2 converter is applied! that is because in all canon cameras (except 1D series) there is no AF when the Aperture is smaller then F5.6.
2. if you don't mind using MF, u need the sigma 2x EX DG Tele Converter.

Unfortunately, this lens is not supported by the D40 due to Nikon's unfortunate decision to leave out the autofocus motor from this camera.  This is why I tell folks not to waste their money on the D40 - access to the many, many, many lenses that Nikon has made over the years, many of which are available used for a substantial savings, is lost on this camera.  The only Nikon lenses that work are AF-S lenses, and some third party lenses that have their own internal motors.  I got a list of Sigma lenses that are compatible with the D40 for you:
The list of compatible Sigma lenses for the Nikon D40 as of the current date is as follows:

• 10-20mm F4-5.6 EX DC
• 12-24mm F4.5-5.6
• 17-35mm F2.8-4 DG
• 50-500mm F4-6.3 DG
• APO 50-150mm F2.8 EX DC HSM
• 70-200mm F2.8 DG MACRO
• 80-400mm F4.5-5.6
• 100-300mm F4 DG
• 120-300mm F2.8 DG
• 300-800mm F5.6 DG
• 14mm F2.8 EX
• 30mm F1.4 EX DC HSM
• 150mm F2.8 EX DG
• 180mm F3.5 EX DG
• 300mm EX DG
• 500mm EX DG
• 800mm f5.6 EX DG

from here:  http://www.imaging-resource.com/NEWS/1177682545.html
Sorry for the bad news.  The cheaper thing at this point may be to sell the D40 and get a D80.  I personally have a D70S, but that is no longer made.