You could take a look at WHF's guide to setting up your televison
here.
And this off-site
review has a list of suggested starting settings for the KDL40W2000 (page 5).
(This also mentions 'service menu greyscale calibration' - I'd ignore that unless you're a qualified TV engineer!)
If you're not too confused by all this, then the THX Optimiser on some DVDs/Blu-rays can help with the basics - contrast/brightness etc.
** Sorry, the second link doesn't work as the forum software seems to insert ** in place of the site name for this site.
I know they're technically rivals, but is this a new policy as I'm sure I've linked to them in the past?
I don't want to break the rules, but if you search: KDL40W2000 hd test on google you should find it!