Magellan doesn't list any European maps for the 4040 on its site, so you are probably out of luck. The various GPS makers tend to use proprietary formatting or file structures for their maps, so you can't take an SD Card with European maps for a TomTom and use it in your Magellan. On the plus side, the mapping software is pretty expensive, and could run you a couple hundred or more bucks. It might be less expensive to rent a GPS unit in Europe.
We have just bought a Magellan Maestro 4040 and have a trip to Italy planned in a month and want to take it with us. Does anyone know if there is software to upload Europe maps for this model? I don't think Magellan makes one but it has an sd slot so we could up load to an sd card.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic