If you are trying to upgrade webmin from the web interface and you get the error «Failed to upgrade from www.webmin.com : Missing Location header», then you can fix it very easily.

My suggestion is just to upgrade via yum following this 2 simply steps:

1.- Log in to your SSH console and create the /etc/yum.repos.d/webmin.repo, adding next lines:

[Webmin]
name=Webmin Distribution Neutral
#baseurl=http://download.webmin.com/download/yum
mirrorlist=http://download.webmin.com/download/yum/mirrorlist
enabled=1

2.- install my GPG key with:
rpm –import http://www.webmin.com/jcameron-key.asc

Now you can just use the command to upgrade webmin:

yum upgrade webmin