I assume you mean you have a 40
w speaker. Yeah, a "system" running on a couple of AA's would only be capable of ~1/2w (and that's assuming BTL on 4 ohms). 1/2w won't drive a 40w speaker well (as you've seen). What you need is a small amplifier. Just increasing voltage won't work because as you increase voltage, the current needs will increase as well.
No matter what, you're gonna need a larger power source. Two AA's is just not gonna cut it. Without some type of elaborate switching PS to boost the voltage, you'd need a 0.1ohm speaker to get 40w on 3v DC.

So, you should be looking to get at least a 12-14v DC supply capable of ~2A.
Canakit sells small project-type circuit boards that might fit your needs. those might seem a little more complex than you were looking for, but the instructions are quite clear on how to assemble them. I used a small amp for my "R/C car stereo" thing a while back. In your case,
20w should be fine.
Then, since you are using a 12v supply for the amp, you can use a simple votlage regulator for the radio board. Don't worry about wasted power as the current consumption will be quite small.