Eddie Murphy has finally won an Emmy, scoring the coveted statue for his work on “Saturday Night Live’’ — 40 years after his first appearance on the show.The comedian — who reprised some of his classic characters, including Gumby and Buckwheat, for his Emmy-winning episode of the late-night TV show in December — laughed and thanked “SNL” creator Lorne Michaels during a short videotaped acceptance speech.“This is 40 years since I started ‘Saturday Night Live.’ This is my first Emmy, so thank you