All other things equal (yeast strain, temp, wort sugar composition...), a low OG wort will usually finish faster than a high OG wort, especially if there is a big difference in OG's between the worts in question.
For a 1.040 to finish in a week, that doesn't surprise me. 4-5 days of fermentation and few days for the yeast to clean up and start dropping out is not unheard of for light brews, people do that sort of schedule with BierMuncher's Centennial Blonde and then keg it - they go from grain to glass in 2 weeks, sometimes a little less.
Usually higher OG beers take a little longer to finish (there is more sugar to eat) and benefit from some additional conditioning time. If you don't control your temperatures, these can still finish very fast, but flavor suffers.
Now, if you aren't controlling your temps or pitching the right amount of yeast, it may not be the best beer in the end. One reason for fermentation to progress really quickly is temps that are too high, and that is pretty common for new brewers. Best things to focus on when you are just getting started are: sanitation, pitch rate, temp control, and patience.