Subqueries are supported in MySQL version 4.1. See section 1.6.1 Features Available From MySQL 4.1.
Upto version 4.0, only nested queries of the form INSERT ... SELECT ... and REPLACE ... SELECT ... are supported. You can, however, use the function IN() in other contexts.
You can often rewrite the query without a subquery:
SELECT * FROM table1 WHERE id IN (SELECT id FROM table2);
This can be rewritten as:
SELECT table1.* FROM table1,table2 WHERE table1.id=table2.id;