The mysql_create_function function in sql_udf.cc for MySQL 4.0 before 4.0.25, 4.1 before 4.1.13, and 5.0 before 5.0.7-beta, when running on Windows, uses an incomplete blacklist in a directory traversal check, which allows attackers to include arbitrary files via the backslash (\) character.
mysql_install_db in MySQL 4.1.x before 4.1.12 and 5.x up to 5.0.4 creates the mysql_install_db.X file with a predictable filename and insecure permissions, which allows local users to execute arbitrary SQL commands by modifying the file's contents.