Dale,
If you can wait until MySQL updates their documentation (hopefully soon), 
that will probably provide the easiest way to upgrade.
On the other hand, if you want to do this today...
Scott pointed out that my upgrade instructions still have a flaw and won't 
work when INSMYSQL is used, despite my amendments. I apologize that in my 
haste I didn't take the time to test those additional steps. I usually 
download the .tar package and do the installations manually (the steps 
that I originally listed should be correct in that case.) If you do follow 
my instructions using INSMYSQL, you'll find that INSMYSQL complains about 
the data directory existing. You can get around this by setting DATADIR to 
some throwaway path like /tmp/blah.
So, here are the steps I've just tested:
(1) as a saftey measure, back up your existing data (using mysqldump or 
similar tool); 
(2) shut down the old version of MySQL; 
(3) rename /etc/my.cnf to a temporary name (e.g. /etc/my.cnf2)
(4) run INSMYSQL, specifying DATADIR('/tmp/blah') or similar
(5) replace the existing /etc/my.cnf with the renamed file from step 3; 
optionally delete /tmp/blah
(6) call QP2TERM; run bin/mysqld_safe to start the new version of the 
server;
(7) run bin/mysql_upgrade in the new version; 
Please let me know if you have any problems! Again, I apologize for the 
incompleteness of my original response.
Thank you,
Tim Clark
Tim, Scott and everyone,
I am planning to upgrade to 5.1.39 On 9/29/09.  I will follow Tim's 
instructions, including steps 2.5 and 3.5.  I think we ran into this 
issue before, but when you are in the throes of trying to get it to 
work, you fail to take any notes.
This time I will try for better notes and post what I find to the list.
---Dale
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