The main issue with the first five pictures is that the shutter speed is too low which could have been improved by increasing the iso setting which was at iso 200 for the first five shots and the iso 720 for the last one, hence it's much clearer. I don't know how familiar you are with exposure, aperture and iso so I apologise if any of this comes across as too basic for you.
The shutter speed is governed primarily by the aperture setting and the iso setting, each one comes with its own tradeoffs. The aperture controls the amount of light that comes through the lens with a smaller F number meaning a bigger aperture and more light which means a faster shutter speed, each lens has a maximum aperture value (which is printed on the lens) and generally the wider the aperture the more expensive the lens with pro-spec constant aperture lenses costing a lot of money. This is where prime lenses like the 35mm F1.8 and the 50mm F1.8 can be useful as they offer very wide apertures and high image quality for a reasonable price although you lose the ability to zoom. The iso setting controls the amplification of the sensor, each time you double the iso value you boost the sensor which means the shutter speed doubles. The catch is that each time you increase the iso you increase the amount of noise or digital grain in the picture, the better the sensor the more controlled this noise is so for a large sensor camera like the D40X you have a decent amount of headroom with the iso settings whereas with say a compact camera you have very little.
So in the case of your photos, by going from iso 200 to iso 800 you would have had four times the shutter speed which would have helped to stop the motion blur. It looks like you had the lens 'wide open' (which means at its widest aperture) so there isn't anything you could do with that lens. Choosing the shutter speed is tricky because it will depend on how much motion there is in your picture and also how good the light is, at times you will find even at the maximum aperture and a high iso setting (particularly when shooting indoors) you just can't really get fast enough. As to how fast a shutter speed you need you can guess it based on how quickly your subject is moving, for a fast cocker spaniel you should probably be aiming for around 1/400 or possible. As an example, this shot was taken at 1/50 and correctly focused but it's far too slow to capture Jake running:
This one on the other hand was shot at 1/2000 because I knew I'd need the super high shutter speed to capture the motion so I intentionally shot with a wide aperture:
People's opinions vary on which setting to use with my preference being the aperture-priority mode (labelled 'A') rather than the shutter priority mode (labelled 'S'). This seems the wrong way round as you'd think the shutter speed mode would be better but I don't like using it because the camera can only do so much to maintain the shutter speed you want, once it has gone to the maximum aperture and the highest iso value it can do no more to get your shutter speed so you end up with an underexposed picture (depending on the camera) as it couldn't capture enough light. With the aperture priority mode I can keep an eye on the shutter speed and if it's dipping too low I can push the iso up and widen the aperture as I think suits the scene, at times I prefer to shoot with a higher iso and keep a narrower aperture as wide apertures mean can mean a very small amount of the scene is in focus which may be too little.
In terms of focus, you normally have three primary modes - manual (M-AF), standard (S-AF) and continuous(C-AF). Manual is fairly straight forward in that it simply lets you do the focusing. Standard autofocus means when you half press the camera focuses on whatever the camera is pointing at and then when you press the shutter fully down it takes the picture, this means if you point it at your subject, half press the shutter and the subject moves out of focus as you press the shutter your picture will be out of focus. Continuous autofocus starts the camera focusing when you half press the shutter button but it keeps focusing until you fully press the shutter button so if your subject is moving this mode should capture the shot in focus.
I say should because continuous autofocus is difficult for the camera and it's one of the main areas where professional spec cameras are generally better as they have very fancy systems, capturing a fast moving subject towards the camera is the most difficult shot for focus as the subject is moving quickly back out of focus as the camera tries to take the shot. It's for this reason I'm not that keen on continuous autofocus mode on the D40X's class of camera although I never used this camera much myself so I'd highly recommend you play around with it and see how good the results you get are.
A couple of tips I'd recommend with autofocus, the first is to set just one autofocus point so you know where the camera is focusing. When you have multiple focus points enabled the camera will just grab whatever it can focus on the quickest and easiest which may well not be where you want it to be focused, hence shots where the camera has focused perfectly on a tree in the background and your actual subject is an out of focus blur! The other is to use a focus trap where you prefocus on a bit of ground or something your spaniel is going to pass and then as they hit that spot, you press the shutter button so they should be in focus. Or set your camera to its burst mode, prefocus again on a spot the dog is going to pass and as they approach it press and hold the shutter so you get a series of shots with hopefully one in sharp focus.
John