What does "a 40 kHz wave modulate with a 1 kHz sound" mean?
Figure 1. An audio signal (top) may be carried by a carrier signal using AM or FM methods. Source: Wikipedia.


  In electronics and telecommunications, modulation is the process of varying one or more properties of a periodic waveform, called the carrier signal, with a modulating signal that typically contains information to be transmitted. Most radio systems in the 20th century used frequency modulation (FM) or amplitude modulation (AM) to make the carrier carry the radio broadcast. Source: Wikipedia - Modulation.



In Figure 1 the 1 kHz sound is represented by the top trace.
The second trace shows the effect on your 40 kHz wave when "amplitude" modulated. (Amplitude is the size / peak to peak / magnitude of the waveform.
The third trace shows the effect on the waveform when "frequency" modulated. Here the frequency changes +/- a certain amount as the modulating signal varies. When the modulating signal is 0 V then the FM signal will be 40 kHz.