Using the 40D version of EOS Utility, when it Bulb (B) Mode, you can “Click” the software shutter release button on the computer and the Bulb exposure begins. A 2nd “Click” then terminates it. No need to touch the camera or have a remote release connected.
Of course this limits you to a single exposure as you would have to manually “Click” again, then again, for the next start and stop operation.
Therefore, I assume that the 400D Version of EOS Utility does not offer this software function – what a shame? I wonder if the 450D will offer it?