I can write you instructions but you do it on your own risk!
1. There are 2 MySQL servers installed. 1st is for internal purposes of Plesk CP and 2nd is for your clients (this is the one you can upgrade).
Note: Don't upgrade 1st!
2. Location to 2nd MySQL is: C:\Program Files\Plesk\Databases\MySQL\
3. Download new version of MySQL but without installer (
http://dev.mysql.com/downloads/mysql/5.0.html)
3. Stop MySQL server from Plesk CP sys tray icon
4. From MySQL directory, move subfolder "Data" to safe place (eg. desktop). This folder contains your clients databases
5. Create "backup" sub-folder within MySQL root folder and move all other files and folders into "backup"
6. Now you will have only sub-folder "backup" in MySQL root
7. Open downloaded .zip which contains updated version of MySQL
8. Extract contents of .zip file (without "data" folder in zip archive) to your MySQL folder
Remember: you first need to go into sub-folder "mysql-5.xxxx-win32" in zip file to get files and folders for extraction!
9. Move back saved "Data" folder to the same place where it was (in MySQL root folder)
10. Start MySQL server from Plesk CP sys tray icon