Try my MySQL upgrade script: http://mark87.com/download.php?list.2
There was a scheme change for the MySQL 5 download filenames so the script will not automatically be able to retreive the specified version. But you can use the script to look at the commands that are run when updating to a version in the 4.1 line. It should be the same process for v5.
I have not tried installing MySQL 5 on any servers so I make no guarantee's