Most of the time, you are not working in a MySQL client and you should batch inserts together using the appropriate API.
E.g. in JDBC:
connection con.setAutoCommit(false);
PreparedStatement prepStmt = con.prepareStatement("UPDATE DEPT SET MGRNO=? WHERE DEPTNO=?");
prepStmt.setString(1,mgrnum1);
prepStmt.setString(2,deptnum1);
prepStmt.addBatch();
prepStmt.setString(1,mgrnum2);
prepStmt.setString(2,deptnum2);
prepStmt.addBatch();
int [] numUpdates=prepStmt.executeBatch();