First of all Welcome to WebmasterWorld lloydshanks!
Redhat has a good policy about supporting older versions of their OS, so if no updates are coming out for it, there is a need to upgrade the OS; you then have something really old on your server. Besides the webserver there may be several other servers running (SSH, FTP) that have vulnerabilities that were discovered after Redhat stopped updating.
Installing a new version of MySQL from the packages offered at mysql.org is not really difficult. The only problem you will run in in my experience is the different password encryption algorithm MySQL started using in version 4.1. After you have uploaded the old 3.xx database, You will have to regenerate all passwords for mysql users, otherwise your applications can't connect to the server.