You're going to need to try to identify what it's hanging on. You can "guess" all day but that just won't help. If there's any sort of log-file produced then that would be the place to start.
Also check the mysql web-site to see if there are any reported problems. Win98 implements the 32-bit Windows architecture only to a certain extent, and it's possible that the most recent MySQL version has an incompatibility. If it does, it's probably been reported already...
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