As I understand, per the SRD, when you increase your constitution modifier, your HP total retroactively increases for every level.
In my game at level 4 my HP increased to 39, at which time I took the feat that increases your con score (which increased my modifier by 1) and gives you +1 HP per level. This should have increased my hit points by at least 4, possibly 8 depending on how the mechanics should work for the feat, however, my hitpoints are still 39.
EDIT- After playing for a little bit, then saving and quitting, when I loaded the game back up I now have 43 HP, so appears it just didn't take effect right away.
This post has been deleted.