tick appropriate option in WHM - tweak settings and then run /scripts/mysqlup in shell prompt. But, be a very carefully because without good experience you will have only headaches. In short words, i do not recommend upgrade your MySQL to 4.1 or 5.xx if you have many customer databases and if upgrade is not definately required.
You don't need setup Apache2 for using MySQL 4.1 or 5.xx, but you are free setup Apache2 too. But, for me, it is not needed...