Focusing is very difficult as the image is so dim so most people use a laptop and connect the camera to a program like FocusAssist which is free. There are lots of other programs available as well. Then you take multiple shots each time tweaking the focus until it looks good on the screen. Sounds hard but really quite straightforward.
If you dont like the idea of a laptop then some people use these http://www.stellar-international.com/index1.html
. I have one but dont use it much as i tend to always have a laptop while imaging so i can guide.
Canon 40d's have live preview so you can try to focus on a bright star and then slew to the object you are interested in.