yes this is what I am after.

well you need something like this pseudo code

for n=1 to 10

gen up a set of 40 points that are uniform[0,2]

for j = 1 to 40

put together means[n] the way you have such that m[n,j] = mean[1st j elements of data]

endfor

finalmean[n] = mean[n,40]

endfor

Plot the n means arrays

Do a histogram of finalmean and plot it

sigh it destroyed all my spacing.