I've never seen forty below. But I have seen thirty below on several occasions.
But I have never been so cold as the day I spent working the floor of a pecan orchard in Central Alabama with the temperature 35-38 above and a north wind blowing mist/drizzle/occasional snowflake.
I was fully and warmly dressed -- inside a pair of quilted coveralls. And, when I got home, I had to sit in front of the fire for two hours before my bones thawed out.
As they say, "It's the humidity..."
England is the same way. The moist air blowing in from the North Atlantic goes right through most clothing and freezes you to the bone. I've never been so cold in all my life, as when I lived there.
It wasn't until years later that it dawned on me that wool is the answer .. doh!