...a "40-millimeter round?" That would be a grenade as far as I know (the kind fired from launchers).
Or an artillery round, fired from a "Bofors Gun."
Given the fact that the 40mm Bofors gun is a crew served weapon, and those rounds are rather huge (notice the 4 round clips being passed up to the gun...
I'd guess you're right: That it was a 40mm grenade.
Mark