#
# get the RPMs (see http://dev.mysql.com/downloads/mysql/4.1.html for local mirror URLs)
#


mkdir mysql-4.1.20
cd mysql-4.1.20
wget \
http://dev.mysql.com/get/Downloads/MySQL-4.1/MySQL-server-standard-4.1.20-0.rhel3.i386.rpm/from/http://mysql.rediris.es/ \
http://dev.mysql.com/get/Downloads/MySQL-4.1/MySQL-client-standard-4.1.20-0.rhel3.i386.rpm/from/http://mysql.rediris.es/ \
http://dev.mysql.com/get/Downloads/MySQL-4.1/MySQL-shared-compat-4.1.20-0.rhel3.i386.rpm/from/http://mysql.rediris.es/ \    
http://dev.mysql.com/get/Downloads/MySQL-4.1/MySQL-devel-standard-4.1.20-0.rhel3.i386.rpm/from/http://mysql.rediris.es/ \
http://dev.mysql.com/get/Downloads/MySQL-4.1/MySQL-standard-debuginfo-4.1.20-0.rhel3.i386.rpm/from/http://mysql.rediris.es/


#
# do the actual upgrade
#


rpm -Uvh --test *.rpm
sudo service httpd stop
sudo service mysql stop
sudo rpm -Uvh *.rpm       
sudo service httpd start       


#
# post-upgrade checks
#


rpm -qa | grep MySQL
sudo service --status-all | grep httpd
ps auxww | grep -i mysql
sudo chkconfig --list | grep mysql

And it would be even easier if it could be handled by up2date like the rest of the system. Human intervention is only required in this case because RHEL ES 3 only ships with MySQL 3.23 by default. If you want the features of the 4.1 series you have to manually upgrade.