Call me paranoid but I always prefer to do the manual partitioning option... that way, if anything goes wrong, I've only got myself to blame

Even doing the manual option, it's only a couple of steps - and at least you'll learn something along the way too.
If I've understood correctly, you've got a 40GB drive that is going to be completely dedicated to your Linux install...? Windows lives on a separate drive, right?
If so, you'll need two partitions on your 40GB drive, one called the root partition (often shown simply as /) and the swap partition. I always create the swap partition to be sized according to twice the amount of RAM in my PC. As I've got 1GB of RAM in my Linux box, the swap is therefore 2GB in size. You don't need to specify a file type for the swap partition.
Then, the remaining space I assign to the root partition. This one will need you to specify which file system you want to use - I go for ext3, although there are others, e.g. ReiserFS, etc... but let's keep it simple to start with and stick to ext3.
That's all there is to it.