I have a Canon EOS 40D

See if the problem is related to the memory card. Start by ejecting the memory card and after saving to disk via card reader, format the card. If there is a problem writing to the card, it will probably show up during the format process. Or, insert a *different* card into the camera and take a shot. The likelihood of two cards being faulty is slim, so if the problem is related to the camera (same problem with both cards) you'll find out by doing the above steps.

If both cards are causing the same results, double check the camera settings - set to full Auto mode and take a shot of a brightly lit scene (or set to manual mode set the lens to wide open (lowest f number f2 to f5 or so) and exposure time to 1/250 - 1/500 and shoot a brightly lit scene. If the shutter opens & closes as expected, double check the settings - as the camera is probably OK, but just set wrong. if still having problems, it might need a vistit to the repair shop. Good luck!