Insect Photography

I like to shoot on insect. But I usually cannot get a good one because I don't have a macro lenses. Is really hard to focus on them in such a short distance using a normal lenses. So what I can do is not to shoot them in detail but try to include other element like flower. Hope that I can save up enough money to get myself a macro lenses. Is so expensive when I check on the Nikkor lenses catalog.

Anyway I faced one problem when I am using my D40 which only have 3 focus point, I can focus sharply on one object but like the photos below when I want to focus on the mantis and the bee at the same time, I always get one in focus and other out of focus.How can I focus on two object when they are separate by a distance?Do you have any idea how can I overcome this problem? Is it changing the aperture is the only solution? Or there is other trick?

Don't come over or I will chop you in to pieces!!

Don't run away you "chicken"

A little green spidey