MySQL: Client does not support authentication protocol

When installing my development machine(installing MySQL 4.x) I usually run into this error on installation and especially when using the GUI tools like MySQL Administrator and trying to connect via PHP:

Client does not support authentication protocol requested by server; consider upgrading MySQL client

What I usually do is just set the database to use old passwords in the startup parameters or do the following SQL for the relevant user.

SET PASSWORD FOR 'some_user'@'some_host' = OLD_PASSWORD('newpwd');

Wonder if anyone else is also getting this problem alot.