I can't get my Remote to my camera work?

I bought a remote for my camera (Nikon D40x) and i can't seem to get it working…
Any advice on how to set it up properly?

Added (1). Thanks! I have done it now!

Not all remotes work on all the cameras.

Are you sure your remote is designed for the D40?

It could be the sync, read the second review down at the amazon link below. You may have the same problem.

What does the camera manual say?

Menu -> Camera -> Shooting mode, as in the linked image I'd guess

Edit

so how did you do it?