Hmm. -40 and compressing everything is not typical because it's not really what a compressor is for usually.
Here's a simple way to set a compressor and get to know how the different knobs work: 1) SET THRESHOLD - set attack and release as fast as they'll go, set ratio super high (10:1-20:1) move threshold from 0 down until you hear it kicking on and off (this will sound awful). Pick the place you want it to kick in and leave the threshold there (probably not -40). 2) SET ATTACK - this will control how long after the threshold is hit the compression kicks in. Longer times let more of the transient through so there is more rhythm to the track. As you move the attack around you should here a pretty significant difference. 3) SET RELEASE - this will control how long the compression stays on. Short times and the compression will RELEASE quickly, longer times will create more sustain. Play with it to find out how it sounds. 4) SET RATIO - simple, just lower the ratio until it sounds good (up to this point it will likely sound awful). Now your compressor is set and you have dynamics controlled with THRESHOLD and RATIO, a rhythm set with ATTACK, and sustain with RELEASE.
This is one way to do it and you should learn a lot about how a compressor works and how each knob interacts from this method. For choppy rhythm guitars set a semi slow attack (ie 50 or more ms), middle range release (120 ms) and 4:1 ratio is a good place to start. For vocals I usually use a really fast attack and release to control dynamics and low ratio (3:1 or less). For snare a slow attack allows more of the crack to come through. So as you can see from this short list the settings vary wildly depending on the source and goal. In general slowish attack allows more transient through so you get a rhythmic sound, fast release controls dynamics quickly and tames peaks...Slow release provides sustain, fast release can add to the rhythm of just tame peaks...threshold and ratio play it by ear.
Good luck, compression can be tricky and takes some time to really figure it out. For years my compression did more harm than good. Now that I know how to use a compressor it is a wonderful tool.