Well did the upgrade myself. Although it is not so easy, use the following resources to let it work. Just updated two boxes to the new MySQL. The real reason why MySQL 3 is still installed is:
Quote
It's not actually Ensim's fault that the version of MySQL you have is out of date - they are basically not allowed to bundle MySQL v4 with a commercial application like Webppliance, under the terms fo the GPL licence. Due to this, it is fully supported - you just need to download and install it yourself.

http://forum.ensim.com/showthread.php?t=15583
http://onlinesupport.ensim.com/TWKB/ViewCase.asp?RuleID=2001&QSCatid=0&CurrentPage=1&QSKeyword=mysql~upgrade&QSUpdateUsage=yes
http://dev.mysql.com/downloads/mysql/4.1.html

The RPM's for 4.0 which need to be installed first:
MySQL-server-4.0.27-0.i386.rpm
http://dev.mysql.com/get/Downloads/MySQL-4.0/MySQL-server-4.0.27-0.i386.rpm/from/http://mysql.he.net/
MySQL-client-4.0.27-0.i386.rpm
http://dev.mysql.com/get/Downloads/MySQL-4.0/MySQL-client-4.0.27-0.i386.rpm/from/http://mysql.he.net/
MySQL-devel-4.0.27-0.i386.rpm
http://dev.mysql.com/get/Downloads/MySQL-4.0/MySQL-devel-4.0.27-0.i386.rpm/from/http://mysql.he.net/
MySQL-shared-4.0.27-0.i386.rpm
http://dev.mysql.com/get/Downloads/MySQL-4.0/MySQL-shared-4.0.27-0.i386.rpm/from/http://mysql.he.net/
MySQL-shared-compat-4.0.27-0.i386.rpm
http://dev.mysql.com/get/Downloads/MySQL-4.0/MySQL-shared-compat-4.0.27-0.i386.rpm/from/http://mysql.he.net/