Yup yup. When you get it developed, you have to specify "push processing." (push processing by two whole stops, from ISO400 to ISO1600, is really a stretch though)
http://photonotes.org/cgi-bin/entry.pl?id=Pushprocessing
Think of it this way:
You have ISO400 film in the camera. You're trying to shoot a scene, and you're at f/8 and it wants to shoot at 1/250s.
There are two ways to "shoot ISO800."
1. Set your film dial to ISO800. Even though the film is actually still ISO400, the camera now thinks it's ISO800 and adjusts the shutter speed to let in half as much light (one stop less) as before. So it shoots the picture at 1/500s.
or
2. Leave your film ISO dial at ISO400. Switch to manual mode and force the camera to shoot at 1/500s. Take the shot.
When you go and develop the film, specify that you want it to be pushed processed by +1 stop. If developed without push processing, your photos will come out too dark. Push processing will develop the film for longer than usual, making it lighter. You'll probably have to go to an actual photo lab to do this, not your typical Walmart or something.
MAKE SURE at the time of shooting you remember which frame you want pushed so that you can tell the developers this. Otherwise they will just push your whole entire roll, even the pictures you don't want pushed. Note that many developers will ONLY push an entire roll, and not parts of a roll.
http://photo.net/bboard/q-and-a-fetch-msg?msg_id=007Q1v&tag=