The G39 command is not for putting a radius on a corner, it will if you lie and set the radius comp to something more then what the tool really is.
On outside corners G39 makes things smoother looping the tool around a sharp corner at the radius of the tool. Without it on a 90° the tool will go one radius past the corner make a sharp (high acceleration) change of direction.
On inside corners it can have a real effect (bad) on what the part looks like.
With it turned off you get what you normally want the cutter switches to the next move as soon as it is tangent. With G39 on the cutter will continue to the end of the current move make an arc back around the intersection point and start off in the new direction, this puts two gouges in the corner.
Edit:
What you are looking for is called corner rounding, and if your control will do it should look somthing like this.
Code:
(A 4" SQUARE WITH A 1/2 TOOL AND NO RADIUS COMP)
G0 X-1.0 Y-1.0
G1 X-0.25
G1 Y[4.0+0.25],R[0.25+0.0625]
G1 X[4.0+0.25],R[0.25+0.0625]
G1 Y[0.0-0.25],R[0.25+0.0625]
G1 X[0.0-0.25],R[0.25+0.0625]
G1 Y[0.01+0.0625]
G1 X-1.0