Unless you have really small hands, I wouldn’t consider the P2000sk, just the P2000, (it’s about the same size as the HK compact). I own a HK USP compact 45, and I like it a lot. The P2000 is nice, because it is a double action only, and has no safety to worry about. I would recommend buying a weapon designed to not have a safety unless you plan to practice a lot. I also have a USP tactical, both of which I shoot a lot, so for me the compact with the safety is more natural. While I will admit that I am a HK fanatic, there is nothing wrong with the Glocks. You might want to look at the Sigs, my buddy just bought a SP 2022, and it seems nice. Your best bet is to go to a gun store and see which one you like. You are going the right way with the .40 also, it’s a good combination of a powerful bullet and mag capacity; I’m actually looking to trade my 45 in for an indicial 40.
My biggest recommendation is don’t go cheep with an auto, CCWs tend to get dirty, and the last thing you need is to have it jam on you when you need it. If you are going cheap, go with a wheel gun.
Just my 2 cents