Is it possible to change the prefix of files on Nikon D40 to something different than
DSC_? What about later entry-level Nikon models?
No it is not possible to change the file naming scheme on the D40. Very few cameras can do that but many importing software can rename on import. Lightroom for example gives you lots of choices such as sequential numbering, date-time, etc.
PS: stackexchange software says that I should use 15 characters at least to say no :)