Urban Terror 4.1 should be installed to a different location than Urban Terror 4.0. It is advised to uninstall (Start-ControlPanel-AddRemovePrograms) version 4.0 and your old ioUrbanTerror before installing 4.1. If you want, you can backup your 4.0 configs/screenshots/maps and copy them to your 4.1 after the install.
Urban Terror 4.1 can run on Quake 3 Arena or on the free ioUrbanTerror. The .zip and the .exe installer have exactly the same files in them and both include ioUrbanTerror, so you only need to get 1 installer. There's only FULL packages, no upgrades. The installers are about 700MB.
If you get an 'invalid game folder' message, first check if you are on 4.1. In the right bottom on the main menu you can see if it says 4.0 or 4.1. If you are indeed running 4.1 and still get this message, the server you are trying to connect to is running 4.0. Just try other servers untill you find one that is 4.1.
Just unzip the zip and make a shortcut to the ioUrbanTerror executable.
Mac executable: ioUrbanTerror.app
Linux 32bits executable: ioUrbanTerror.i386
Linux 64bits executable: ioUrbanTerror.x86_64
In linux, you need to make it executable first: right click it, properties and tick the 'allow execution' box.