There is no yum repository for MySQL 4.1, you'll have to go to dev.mysql.com and download the rpms. Be sure to get the lib-compat if your distro installed 3.x.
It depends upon your distribution. I use CentOS 3 which has version 4.0, and CentOS 4 which comes with ver 4.1.7. "yum install" definitely works for the respective versions.
If you need a version which isn't in your yum repository, then downloading the rpm's or binary archives is the way to go.
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