I don't know which d40x package deal to get?

Well, Jason, since you're starting out new in photography, I think you'll soon learn that like many hobbies, it's all about the money.
You don't mention your budget, so I'll answer both ways (large vs small budget)
First of all, the nikon DSLR's have what is called an APS-sized sensor, which means that it does not cover the same field as a 35mm camera. What this means to you, is that any lens you put on the camera effectively increases its focal length by 1.5X. So an 18-55mm lens is equivalent to approx. a 28-80mm effective focal length. and a 55-200mm becomes 80-300mm. Many of the professional sports photographers you see at events are sporting 300mm lenses. The reason they are so large is that they are much faster lenses than those used by amateurs (they allow more light to reach the sensor/film, thereby permitting faster shutter speeds, which in turn give sharper action shots).
With the kind of pictures you are interested in taking, you need the longest focal length you can afford. I'm assuming you will be shooting NASCAR in the stands, rather from the pits. So
if you went with the 18-55mm and a 300mm (which by the way would give you an effective 400mm) you should be fine. Since this gives you an effective 28-80mm and a 400mm, it should meet your requirements. You will have a large gap between focal lengths, however. You can always fill that in later, of course.
A major concern with using long focal length lenses is that along with enlarging the perspective of the object being photographed, they also increase the effects of camera shake.
A rule of thumb is for you to use tha approximate same shutter speed as the focal length, and then hold the camera as steady as possible, i.e. 1/400 for a 400mm lens. Getting back to the example of professional sports photographers, if you take note, you will see most of them using something called a monopod. This is basically a big stick with a mounting device on top with which to attach the camera. A tripod (3 legs) would be the ideal steadying device, but these tend to be cumbersome, and although used extensively by wildlife photographers, who don't generally have to move quickly to get out of the way of fast moving athletes/objects, they are somewhat impractical for shooting sporting events, if you happen to be shooting from the sidelines. That said, You need to consider buying a tripod or monopod, or both. Another option would be to purchase one of Nikon's VR (vibration reduction) lenses, which provide enough stability to give you an extra 3 stops (increased shutter speed) while being hand held. These lenses tend to be somewhat pricey, however. The least expensive of these is the 55-200mm VR, which I believe is made in the AF-s format; it runs about $250 (street).
When you mentioned lens protectors, I assume you mean a protective filter, such as a UV (sometimes called haze), which fulfills the function of sharpening an image somewhat on a hazy day, but which most of us use to protect the lens glass from scrapes and scratches. This particular filter is popular because it has virtually no effect on exposure or color balance.
With regard to remote shutter releases, there are basically two types: radio/IR controlled (expensive), and what we used to call cable releases (not so expensive). The manual cable release is a good idea, and should be used if your camera is on a tripod, in order to avoid as much camera shake as possible while taking the picture.
You will, of course, need a bag to carry your kit. The cost of a bag varies all over the lot. From a relatively inexpensive one (around $40) up to a Billingham ($250 and up). They come in the form of shoulder bags and backpacks. The best criteria is to insure that they are comfortable to use, and protect your equipment from shocks and the environment.