Had the same problem earlier..... i thought that it was the UV filter, had the filter replaced in Alan Photo. the guy there was so nice as he did replace the filter though he knows, based on my description, that its not the filter. he thought me that --- to know if you have dust, shoot in the sky with the highest f-stop in your lens, then zoom. great if its a clear blue sky (even with clouds) you could see the duskt specs even in your camera screen.
then i did what was instructed in this video.
http://www.youtube.com/watch?v=huOdzpl534k
Had to review it again as i missed the part where it said to enable mirror lock up. the mirror that you see after removing the lens is just a mirror. not the sensor. for you to see the sensor, go to your camera settings, in my d40, go to menu - settings - mirror lock up. turn it on then press the shutter button. this should expose your sensor. CAUTION, make sure that you point your camera down while doing this as you dont want any more dust to go in. I used a balloon pump to blow air inside the sensor. do not use your own mouth to blow as your breath contains a lot of moisture and that will wet your sensor. i had to ask my son to hold the camera down (making him feel important)
. again make sure its pointed down. if you have a tripod, then better. i had to do this several times as the first few attempts of blowing only removed some dust particles and not all. i was about to loose hope and researched about a sensor pen to clean the sensor (there are a lot of topics here in clubsnap about sensor pen cleaner), and thought of bringing my camera to Nikon service center. but i tried a bit more, until i perspired pumping the balloon pump to my camera --- then it worked! you can also use any good foot pump. a number of professional suggests to use a cleaning bulb as those cleaning bulbs even have filters so dust will not come in and thus will not be blown to your camera. see a sample bulb in the youtube video i posted.
read a lot of article that touching the camera sensor is a bad idea if you are not sure. i would suggest, if blowing air to your sensor does not do the trick, dont gamble. bring it to a camera shop to have it cleaned.
hope this helps future readers and newbies!