Shoutbox

Yes, it might be possible, but probably not without formatting / partitioning. What you are trying to is create a spanned volume set. I'd have to dig out my VPC to figure out exactly how to do it, but I know for sure that XP has this feature built into it.

HOWEVER, even using a third party tool, the data space on the disk to be changed must be blank first before making partition changes. That means that you will probably need AT LEAST 10GB free in sequential area on the 40GB disk, and an empty 4GB disk.
In the case of fault tolerance with this method, if either disk fails, the data on either part of the partition will become inaccessible, even on the good disk.

An alternative and much easier way IMO, would to be to mount the 4GB drive onto the 40GB partition (assuming it's an NTFS partition. If not, that can be fixed quite easily). Under the disk manager in XP, you will have logical drives listed at the top and physical at the bottom. With the logical 4GB drive, right click it and select "Change Drive letter and Path..." You can then choose to add a path and maybe choose to remove the drive letter for it as well. You can mount the logical partition as a virtual folder on the 40GB drive. The 'folder' name will be the same as the volume label.

In order to mount it, the destination folder must exist, and be empty. This method is very quick (30 seconds, if that!), does not require a re-boot, is completely reversible, and there is no risk of losing data.