Thanks, sundialsvcs and vanekl
I finally solved the problem. What I did was I removed the entire directory c:/mysql manually, then installed 4.0.16. Now I'm able to start winmysqladmin.exe.
Previously, I removed the older MySQL versions using Window's Add and Remove. That had the advantage of keeping the existing databases but I wasn't able to get 4.0.16 up and running.
As most of the databases were for learning purposes, I decided to try my luck by manually deleting the entire mysql directory. That worked!
I was trying to implement Foreign keys and Referential Integrity as well as Fulltext searches using examples from Mysql by Pual DuBois, Second Ed, to aid my understanding. I was disappointed when I couldn't get them to work because my previous MySQL version didn't allow INNODB.
I have just experimented with Foreign keys with the new install 4.0.16 and it works as expected
