I'm sure that Bob's homemade housing works great. The Photo he submitted is definately impressive. But if you aren't the do-it-yourself type, I would reccomend either the sea and sea ys90dx or the Ikelite ds120. The Ikelite is better but more expensive. I own a canon s300 in a wpc 100 which is very similur to the s40 and have had success with the Ikelite strobe using the digital TTL sensor.
I chose the Ikelite because it is a bit more powerful than the Sea and Sea, it has a TTL option and a modelling light. I also like the rechargable battery. One charge lasted me 4 dives with no problems. Although TTL is a nice feature, I found that it didn't work well underwater. Most of the photos came out underexposed. Instead, I used the manual settings exclusively, setting the camera WB settings to -2ev. Ikelite has a new manual sensor out that will give you full manual control. I would recommend this as opposed to the TTL sensor since the 1/8 setting was a bit too much light for most of my shots. I could have gone down a stop but 1/8 was the lowest setting available on the strobe itself. The manual sensor gives you more settings. I found that with digital it is easier to play and review than to mess with the simulated TTL. I'm sending my TTL sensor back to Ikelite to exchange for a manual sensor.
I believe you can connect two of these strobes via a T connector from the single sensor. (call up Ikelite for specifics) Their tray systems work well with the canon housings. Once you upgrade, you can purchase a TTL sync cord in either nikonos or Ikelite standard to connect to the manual sensor and use the cameras TTL or the micro-manual adjustment.
Chris