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The 4-lead rectifier chip is the same as the 4 diode in the diagram in a single package.
A zener (with current limiting resistor would work). So would a linear regulator IC.
Zener Regulators
Resistors won't work alone because their voltage drop varies with current and input voltage. If current changes, output voltage changes. If input voltage changes, output voltage also changes- not what you want when regulating something.
THe simplest methods of converting 39VDC to 5V at 500mA will produce 17W of heat. For a typical chip, this would be a 1000C increase in temperature above ambient. With very very good heatsinking it's about 200C. Still way too hot for any components to survive. More efficient methods to convert DC-DC that produce less heat are much more expensive and complicated. For AC, it's easy so you should get a small transformer to step down voltage while it is AC as much as possible before running it through your diodes or rectifier so that the DC output is closer to 5V before running it through an inefficient zener or regulator.