Try either multi-table update syntax:
UPDATE config t1 JOIN config t2
ON t1.config_name = 'name1' AND t2.config_name = 'name2'
SET t1.config_value = 'value',
t2.config_value = 'value2';
Here is a SQLFiddle demo.
Or conditional update:
UPDATE config
SET config_value = CASE config_name
WHEN 'name1' THEN 'value'
WHEN 'name2' THEN 'value2'
ELSE config_value
END
WHERE config_name IN('name1', 'name2');
Here is a SQLFiddle demo.