Your DCR-HC40 must be in edit mode. This mode is located in the VCR portion of the camera settings. Check your manual.. Once you're in this mode, then you can import.
Sometimes though, the DCR-HC40 may cut its connection once in awhile -- not sure why it's happening. iMovie or iLink as one of my MiniDV (DCR-HC52) does it. However, when I use a standalone software called "Vidi"
http://mitzpettel.com/, the problem disappeared!
Btw, the file saved is a Quicktime DV which you can import into iMovie.