Definitely use P (program auto). You have to choose the ISO and you can adjust the exposure and colour settings, but aperture and shutter speed are done by the camera.
Choosing the ISO isn't hard. Generally, the lower the light you're in, the higher the ISO, the brighter, the lower. But - the higher the ISO you go, the more grainy your photos become. The S4000 can go up to ISO-400 before it gets really grainy (I wouldn't advise going higher than 400). I stick to 64, 100 and 200 usually.
ISO performance is one of the reasons why I'm hopefully upgrading to a D-SLR soon. The D-SLR will be much better in low light as it handles noise much better than the bridge camera.