Camera setting when attached to a telescope?

When I attach a Nikon d40 to a Celestron NexStar 4SE using the t-ring for a Nikon (93402) and the t-adapter (93635-A), it seems to fit properly. But when I press the button for a picture, it says no lens is attached. Is there some special camera setting to use?

Use the lightmeter in your camera. It will give you a starting exposure and then make adustments from there. You are NOT using film, so you can experiment all you like until you get the right exposure

You need to set the camera to manual mode (the dial on the top right of your camera). Manual mode is the "M" setting. This will get rid of the error message.

Set your ISO to an appropriate value (depends on the brightness of the object you're shooting), perhaps in the 200 to 400 range. On the D40, ISO 800 starts to get noisy.

Set your white balance to daylight (symbol of the sun).

Set your shutter speed to an appropriate setting (depends on the brightness of the object you're shooting). Shutter speed is adjusted by the thumb wheel on the back near your thumb. This could be anywhere from 1/200 to many seconds. Your scope is has an aperture of f/13, so longer shutter speeds will probably be the norm.

It is best to use a remote control to actuate your shutter. If you use the shutter release button on the camera, this will introduce shake which takes a long time to settle out on some telescopes. The ML-L3 remote is $15 and is usable on many of Nikon's newer models.

To reduce image noise, look in to stacking images. A good starting program for this is StarStax. Easy to use and works well. Works on Mac or PC.
http://www.markus-enzweiler.de/StarStaX/StarStaX.html

Another fun thing is adding a mount on the telescope so you can piggyback your camera to the scope. This will allow shooting through your normal camera lenses and use the scope motor drive to track the sky. This allows you to take long exposures of the milky way and other close fuzzy objects.