Cita: A subquery is a SELECT statement within another statement.
Starting with MySQL 4.1, all subquery forms and operations that the SQL standard requires are supported, as well as a few features that are MySQL-specific.
With MySQL versions prior to 4.1, it was necessary to work around or avoid the use of subqueries. In many cases, subqueries can successfully be rewritten using joins and other methods. See Section 13.2.8.11, “Rewriting Subqueries as Joins for Earlier MySQL Versions”.
Fuente:
http://dev.mysql.com/doc/refman/4.1/en/subqueries.html
vamos que con 4.0 hacia abajo nada, tendrás que hacerlo con un bucle por codigo o actualizar