This guide is for almost every Linux distribution.
Prerequisite is that you have the required build tools installed already.
If not, do the following step:
Debian and Ubuntu users way;
sudo apt-get install build-essential
The Fedora/Red Hat way:
sudo yum groupinstall "Development Tools" "Legacy Software Development"
First step is getting the source package
Next step is compiling and installing it;
tar xf bash-4.1.tar.gz
sudo make install