How to take HDR pictures manually with Nikon D40X?

And then how do I edit it on GIMP? And… No I can't get other softwares. I'm poor and can't afford softwares that I gotta pay for.

Don't know

You can use either exposure compensation, exposure bracketing, or if using manual, simply change the exposure values between each shot.

Here is a webpage with more information:

http://www.althephoto.com/concepts/hdr.php

Exposure bracketing, normally, but I'm not sure whether there's exposure bracketing because I do not use Nikon cameras. The traditional method would be to take an underexposed shot at a high shutter speed (maybe even with an and filter if you are feeling badass: P), a normal shot, and an overexposed one at a slow shutter speed (one second or maybe a bit less). Then, use an online service or a downloaded one to merge all three. I use picturenaut for downloaded, but an online service would be fotor, which offers good HDR merging here: http://www.fotor.com/features/hdr.html

Oh, yes, you can get other software. You just need to know what's available in the open source community.

Take a series of images using different shutter speeds. You want to have shots which correctly expose the lightest and darkest parts of the scene to your liking, and you need shots in between spaced at approximately 1 EV steps. Don't exceed exposure steps over 1.3 EV (stops) as your final image will suffer.

Other helpful hints:
* The aperture must be the same as changing the aperture will change depth of field.

* Lock your focus. I use autofocus, then switch the lens to manual focus. That will keep the focus from changing.

* You must use a tripod as each image must overlap almost perfectly.

* Shoot images in raw mode. Convert your raw images to 16-bit TIFF using Nikon's ViewNX2 software. ViewNX came with your camera and it is available on Nikon's web site. It's free.

To edit your HDR stack, use a program called Hugin. It is open source (i.e.free) and produces great results. Hugin will use programs called align_image_stack and Enfuse (included with the Hugin installation) to merge your image stack. I generally use align_image_stack and Enfuse from the command line and avoid using the Hugin user interface when doing HDR. You may find it easier to use the Hugin interface if you're not comfortable using command line programs and writing batch files.

Use GIMP to edit your final HDR fused image.

That's it. Confusing at first, but easy once you figure out the work flow.