Good one. Welcome to the 40D club
I got mine just a few weeks ago. I got the camera and 17-85mm IS lens for $1655. I too am a happy boy.
Don't worry about all the discs/books etc. You really only need to load up the 'Solution Disk'. That's where Digital Photo Professional, EOS Utility etc is to be found.
Another disc is a product promo disc which you can toss, and the other is software instruction manuals (for the aforementioned programs which are on the Solutions disc) which are handy but not needed to get you started. Just have a play with the software once you take a few snaps. The apps are quite intuitive.
As for the camera, the pocket guide and full booklet are very handy.
I'm enjoying mine, and have started to come to grips with a lot of its features.