The above syntax worked when I tried it, what version of mysql are you
using?
mysql>select version();
http://dev.mysql.com/doc/mysql/en/update.html
Starting with MySQL 4.0.4, you can also perform UPDATE operations that
cover multiple tables:
UPDATE items,month SET items.price=month.price
WHERE items.id=month.id;
The example shows an inner join using the comma operator, but
multiple-table UPDATE statements can use any type of join allowed in
SELECT statements, such as LEFT JOIN.