.Good for you for buying a handgun, Glock is a good choice and .40 cal is also a good choice of calibers.
Not sure if a hollow point would penetrate siding, I suspect so though. If you are concerned about penetration, then take a look at frangible ammo - it is specifically designed to not poke through walls.
Yeah, ammo is a little confusing. Your .40 caliber handgun was designed to fire Smith & Wesson designed .40 cal ammo. There could be similarly sized bullets (the .40 cal means the bullet is 0.40 inches in diameter) but designed by another firearms manufacturer with a different casing (the casing is where the powder is housed.) I'm sure others will chime in with a better tutorial.
Target ammo is sometimes referred to FMJ (full metal jacket) or vice-versa. Some call it "Winchester white box" (or WWB) ammo because that's how one manufacturer packages their target ammo. There's nothing wrong with using hollow points for target practice, but it gets a little expensive.
As far as bullet weight, pick out your defensive ammo with whatever weight you want (I'd go with a heavier weight) and then try to shoot target ammo with the same weight bullet. I mix and match, so it's really not that big of a deal.