@ marais, Your white balance  setting is set wrong. Check your white balance setting in your 40D. try setting it to auto, It works most of the time.  if it does not work, try varying it.. for example for pictures in daytime, use  'Daylight' white balance.. if your'e shooting indoors, try 'Shade' , 'Indoors', Tungsten or Flourescent, whichever works for you.

I have not used a 400mm lens or anything similar, so I am not the one who can answer your second question. Sorry about it.  May be Baldrick can, try asking him. You can also try asking the WARP members who are experts in this area..

For your 3rd query,The inbuilt flash is useful at times but it has minimal controls on the output. You can try reducing the flash exposure by a stop or two, if your camera allows you to. but you will have to be in Manual mode. Auto modes  ususally dont allow this. If you manage to adjust the flash exposure, you may be able to get better photos with your on-camera flash..

if you want complete control over the flash, you must get an external flash. They offer you incredible options and open up a new world of creativity.