Along with the release of Microsoft Dynamics AX 2009, we have made the SDK documentation available on MSDN here. If you look in the tree on the left, you'll see that the 4.0 documentation is still available on MSDN as well.
The SDK documentation for both versions is available in the product as well, but we have a continuous publishing model whereby the SDK on MSDN is updated on a regular basis. So you'll always find the latest and greatest docs online. If you have any comments or suggestions on any of our content, go ahead and send me an e-mail by following the link on the left. I'll make sure it gets to the right person!