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Before using that microphone with the Vixia HF G40, you'll want to update the camera's firmware so that it will work with that mic. We put together an illustrated guide for doing that on the link below. Note that step two will be different for your camera. Instead of putting the camcorder in the playback mode, you'll want to put it in the camera mode.
After you do the update, you can reference the illustrated steps for attaching the microphone.