MINUS and slow 'not in'

All,
  I've got a small problem.

Say you have tables A and B. They both have a userid column. Table B was
selected and previously filled with entries from table A. Lets say about
2000 out of 40,000. Now
I want to select everything from A that isn't in B, so about 38,000
entries.

I can't seem to get the MINUS to work within a select statement all I
ever get are
parse errors. Is this even implemented yet?

I then tried using a 'not in' clause.

select * from A where user_id not in (select * from B);

This is VERY slow, and examining the explain output tells me that it will
use the user_id index for table B, but a sequential scan of A even though
A has an index for the user_id column.

Am I missing something? Does anyone have any ideas?

Thanks for any help.

-=pierre