K.B.
I also have a four year old boy. They are very curious and the whole gender difference really becomes apparent to them at this age. Four year old boys also receive another testosterone "wash" in the brain at this age. I think the advice you have received about not dressing in front of him and seperate baths is good. If they are in seperate beds then don't rush them apart just yet. If they share a bed like my older two, then a different sleeping arrangement could help to establish appropriate boundaries. Let your judgement be the guide.
Emphasize privacy and pick his little mind to see what he is curious about. Then, just give him enough info. to satisfy him. He doesn't need the birds and bees yet. How you handle this situation will set the stage for these discussions int he coming years. Be loving, open and honest with him. Your goal is to have him come to you with this type of stuff when he is older.My parents always handled this stuff with a matter of fact attitude and never made me feel silly or shamed. Consequently, I was always very comfortable asking my Mom for information, even into my high school years.
Finally, realize that we are all inundated with sexualized images every day. We can become desensitized to it and not realize what our children are assimilating. We try to live in reality over here and limit tv and moniter computer time. We also realize that our children will be exposed to more than we ever were. Treat this time as a foundational time to set boundaries and a healthy self-image about sex. God made it and it is good!
Enjoy this time with him. He will ask you some honest questions that can really tickle your funny bone. I agree with another responder, write down these conversations. They will be laughed over in years to come.