How do I view a MySQL warning that has just arrived?

I just ran a simple MySQL CREATE TABLE statement that produced the line

"Query OK, 0 rows affected, 1 warning (0.07 sec)."

It didn't actually show me what the warning was, though. How can you see the contents of a warning that just occurred? I'm using MySQL 5.1, if it makes a difference. The only thing I found online was "SHOW WARNINGS;" but that only produced

"Empty set (0.00 sec)."

SHOW WARNINGS is the only method I'm aware of, but you have to run it immediately after a query that had warnings attached to it. If you ran any other queries in between, or dropped the connection, then SHOW WARNINGS won't work.

The MySQL manual page for SHOW WARNINGS doesn't indicate any other methods, so I'm fairly certain that you're stuck with it.