池田です。

こちらでも動作確認が取れています。

OS:Windows2000Pro SP4
MySQL:ver4.0.23 without Installer版

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C:\mysql-4.0.23-win\bin>mysqld --print-defaults
mysqld would have been started with the following
arguments:
--basedir=C:\mysql-4.0.23-win
--datadir=C:\mysql-4.0.23-win\data
--default-character-set=ujis --max_allowed_packet=8000000

C:\mysql-4.0.23-win\bin>mysql -uroot
Welcome to the MySQL monitor.  Commands end with ; or \g.
Your MySQL connection id is 2 to server version:
4.0.23-nt-max

Type 'help;' or '\h' for help. Type '\c' to clear the
buffer.

mysql> use test
Database changed
mysql> create table t1 (c1 int primary key, c2 longblob
not null);
Query OK, 0 rows affected (0.12 sec)

mysql> insert into t1 values (1,
load_file('C:\\manual-a4.pdf'));
Query OK, 1 row affected (0.38 sec)

mysql> select c2 into dumpfile 'C:\\copy.pdf' from t1
where c1=1;
Query OK, 1 row affected (0.34 sec)
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copy.pdfをちゃんと開けて、内容もmanual-a4.pdfと同じです
。