With the D40 I usually just use auto white balance and RAW and fix any problems later. But reading all these posts piqued my interest so I just now tried it twice in my darkish living room at night with a sheet of white paper. I wasn't even that careful with exposure. It was asking for the flash, but I didn't use it.
Firstly with 35 1.8 ISO 400 1/25 sec F2.5 - worked fine
Secondly 55-200m at 55 1/13 sec at F4.5 ISO 400 - worked fine
You must have a problem with your camera, lens, or procedure. Sorry I can't diagnose which.