HELP! Objective Problem?

You may be lacking some kind of fine adjustment. If it was the cover-slip, you would get a bad image right from the start no matter what lens you were using. Check if the 40x is well attached, for a start, and if it is clean (this may be a tricky part). I don't know how sure you are about the objective you're using, but this also may happen if you are actually using a lens that should be used with oil.