Q:

Install Python 2.5 on RedHat/Centos

Current Python version is 2.4...
yum upgrade python

Gives 
Could not find update match for python

Do I have to install from source? 

A:

./configure 
make 
make install

The command should be the following (according to the README for 2.7)
./configure 
make
make altinstall

See the "Installing multiple versions" section in the README. 

A:

Yes, you need to install from source, you can use the following:
wget http://www.python.org/ftp/python/2.5.2/Python-2.5.2.tgz
tar fxz Python-2.5.2.tgz
cd Python-2.5.2
./configure
make
make install

This will install Python 2.5 as the command python2.5, as yum and other parts of CentOS require the old Python 2.4, so you will have two versions of Python installed. 
/usr/bin/python - 2.4.3
/usr/bin/python2.5 - 2.5

