How to change the shutter speed on Nikon D40 camera?

I have the dial at the top of the camera on 'S' but the shutter speed is the same?
How do i change it? I've looked on the menu on the camera but I can't figure it out

Exactly like the instructions that came with your camera says. If you don't have the instructions, download them from the nikon website.

The shutter speed can be changed in M or S modes. In M mode, you can also hold down the +/- button while turning the dial to change aperture.

You may not be able to change the shutter speed if the camera can't find a suitable exposure. You also can't select a shutter speed faster than the camera's sync speed.

Try changing the ISO, or using auto-ISO, and see if the shutter control works.

If you don't have it, buy a hard copy of the owners manual.

Did you still have your Owners Manual? If so than haven't you Picked Up and Started Reading Your Owners Manual? The Manufacture includes the Owners Manual with the Camera for a reason which that reason is to cover so much Basic Camera Operation including on How to Change the Shutter Speed.

Here's the Owners Manual so Go Look Up The Information Yourself
http://www.nikonusa.com/...D40_en.pdf

Look on page 41 and 43 of your user manual.

You can change it in M, S or P modes.

In S mode, as you turn the thumbwheel the shutter speed changes and the camera tries to set an aperture to match.

In P mode, as you turn the thumbwheel the current pair of aperture/shutter combination changes.

In A mode, the thumbwheel changes the aperture, but the camera will automatically try to pick a shutter speed to match, so you can effectively control it that way as well if you prefer!

In M mode you have to set both aperture and shutter speed yourself. I would leave that until you have mastered P, A and S modes!

The difference between P and S modes is that in P mode, the camera won't let you go beyond the range of shutter/aperture combinations which give correct exposure, so if there's only enough light for 1/500 at the widest aperture, that's as far as it will let you go. In S mode, you can select any shutter speed - but if the camera can't match the aperture to give a correct exposure that is your tough luck. So if you set 1/2000 second but there's only enough light for 1/500 you will end up with an underexposed picture.

As you seem new to this I would recommend sticking with P mode and using the wheel to adjust the shutter and aperture combination to what you want.

The other big advantage of P mode over the green fully-auto mode is that the camera does not automatically pop the flash up whenever it thinks that is a good idea, so you don't look a right royal berk when the flash pops up when you are trying to take a picture of a mountain range. You do still get a light warning you when the camera thinks you need flash, but it is you that controls it.