Some of the D40 automatics (2007 to early 2010, possibly some 2006 models) have a DPf in the exhaust - it's a Diesel Particulate Filter.
It's designed to trap the soot you normally see coming out of a diesel's exhaust and when the soot levels get a little higher (and under the right driving conditions), it conducts a "regeneration cycle" by squirting some diesel into the exhaust stroke of a cylinder. This extra fuel burns on the DPF quite hotly, thoroughly combusting the soot and allowing it to pass out the exhaust harmlessly.
Sometimes, most commonly through the ECU's inability to meet the conditions for the DPF regen cycle, the car will flash its DPF warning light. At this time, the manual instructs you to provide the conditions for a good regeneration cycle - cruising at 80km/h road speed, light load, engine temp in normal range.
If the ECU is still unable to conduct a regen it inhibits the vehicle in what we call "limp mode'. Maximum 2,000rpm. Slightly overfuelled (cooler combustion), probably retarding the timing of the injection pulse in each cylinder.
Once this stage is reached, it's generally terminal - back to Nissan, who clear the condition with their tool and initiate a "forced regeneration" which actually runs the engine for a fair length of time at quite a hard rate. At the end of this, the engine oil has to be replaced (I think maybe the filter as well).
If you were to buy an STX from mid-2010 onwards - the 140kW motors - you won't have a DPF.