On the 40D, if you enable immediate focus point selection with the joystick, then the button you normally need to press first becomes redundant. So they use that to select the all points active mode.


As I see it, there are two possible methods to focus on something, then recompose.


Either you use One Shot AF and the center point, in which case you aim the center point at the target, half-press the trigger (and keep it there), re-compose your shot to cover what you want it to and then press the trigger completely. Note that if you use this method combined with evaluative metering and automatic exposure, then you'll also lock exposure at the same time as you lock focus.


Or you use Servo AF, move the focusing operation to the AF-ON button (or * on the simpler models) and use the center point. Aim at the interesting part with the center point, press AF-ON until the camera has focused there, let go of the AF-ON button to hold the focus where it is, re-compose and take the picture. In this case you don't lock exposure when half-pressing the trigger, though, even with evaluative metering.


One Shot AF is better in low light than Servo AF, but apart from that, these two methods are equivalent.


Now if you need to track a moving target, and now and then take pictures of it, then you need Servo AF and keeping the active focus point on the subject all the time, while you keep the trigger half-pressed or hold the AF-ON button pressed.


If you want everything covered by the nine focus points in focus, and don't use flash, then you can try the A-DEP setting. It's one of the most bashed modes of them all, but this is actually exactly what it's there for.