This thread here should be able to answer all your questions regarding mint marks: http://www.cointalk.com/t1562/
Most coins without a mintmark were minted in Philadelphia. This is the case with your coin. 1939 (P) is a very common coin, with over 120 million being minted. There is, however, a rare variety you might want to look for. One of the dies was altered such that the letters "MONTICELLO" and "FIVE CENTS" on the reverse of the coin were doubled. This doubling had a very wide spread to it, and is easily visible to the naked eye. If you happen to have this variety, it is a good find!
