Welcome to the forums, I think most people start with an aftermarket air filter, exhaust and re-jet the carb. In your case you could play with different sprocket sizes too for more top end at the expense of some bottom end grunt.
I agree with Fourtrax all those are fairly cheap and easy mods. They will help out i would take the air box lid off to if your not running in deep water or lots of mud. Also another thing to think about is a aftermarket cdi. The cdi changes your timing curve and makes your rpms go higher before you rev limit out. They are a cheap and easy horsepower gain. If you want to or are capable of riping into the motor maybe a web cam or a hot cam would also make you some horses.
P.S. 400ex's can pretty easily be as fast or faster than a 450r. Plus you have an 06 and im pretty sure that one has reverse. 450r's do not have reverse. Just a thought.
Full is gunna be better but thats up to you. I have a white brothers head pipe and my brother runs a curtis sparks head pipe on his 400 with a hmf slip on. Different ones have different power increases and different tones. What kind of power are you looking for?
i am looking to get the most power i can get out of it.. dont really care about the tone or the looks.. so for power which exhaust do you recommend?? thanks for helpin me out im not very good with quads but im learning
ebay. Or craigslist maybe? Or you could just go to the websites. Hmf.com, Hotcamshafts.com, you know. You may be able to get the air filter from a auto parts store. I know here we had a parts distributers that can get filters and outerwears. Look for a big gun rev box. Those are good cdi for the 400s