I've just downloaded the latest version of MySQL (4.0.20) for OS X. They seem to have omitted the installer - there's no .dmg file to download. The manual only covers installing from the .dmg for OS X.
I think you must have just missed it. There's been an installer one for a while now, and on is still listed here for OS X:
http://dev.mysql.com/downloads/mysql/4.0.html
-- greg willits
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